Universality in the coarse-grained fluctuations for a class of linear dynamical systems

Sándor Kajántó and Zoltán Néda

Physica A: Statistical Mechanics and its Applications, 2018, vol. 503, issue C, 215-220

Abstract: The overdamped dynamics of linearly coupled elements are studied in the stochastic force-field of a reservoir. The stable equilibrium state is fixed by the reservoir, and the stochastic force field induces fluctuations around the stable state. The dynamics of the system is investigated in the case when the stochastic force-field is a multivariate Gaussian noise. For a class of practically relevant problems we prove that the coarse-grained properties of the fluctuations are not influenced by the interactions among the elements. Compact results are given for such coarse-grained quantities and an application for the price fluctuation of an economic product is discussed.

Keywords: Fluctuations; Multivariate Gaussian noise; Linear dynamic systems (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:503:y:2018:i:c:p:215-220

DOI: 10.1016/j.physa.2018.02.205

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