An analytical approach for describing self-similar random processes with positive variables

V.P. Koverda and V.N. Skokov

Physica A: Statistical Mechanics and its Applications, 2025, vol. 673, issue C

Abstract: An analytical approach to describe self-similar random processes with positive variables is proposed. The approach is based on the use of a system of nonlinear stochastic equations describing stochastic dynamics at coupled interacting nonequilibrium phase transitions. The solutions of the proposed equations are random processes with power-law behavior of spectral densities and probability density functions. An entropy analysis of stability of random processes is carried out.

Keywords: Self-similar processes; Positive random variables; Stochastic equations; Power spectrum; Probability density functions (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:673:y:2025:i:c:s037843712500336x

DOI: 10.1016/j.physa.2025.130684

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