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Soluble models for dynamics driven by a super-diffusive noise

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  • Hongler, Max-Olivier
  • Filliger, Roger
  • Blanchard, Philippe

Abstract

We explicitly discuss scalar Langevin type of equations where the deterministic part is linear, but where the integrated noise source is a non-linear diffusion process exhibiting superdiffusive behavior. We calculate transient and stationary probabilities and study the possibility of noise induced transitions from a unimodal to a bimodal probability shape. Illustrations from finance and dynamical systems are given.

Suggested Citation

  • Hongler, Max-Olivier & Filliger, Roger & Blanchard, Philippe, 2006. "Soluble models for dynamics driven by a super-diffusive noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 301-315.
    • Handle: RePEc:eee:phsmap:v:370:y:2006:i:2:p:301-315
    DOI: 10.1016/j.physa.2006.02.036
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    References listed on IDEAS

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    1. Lisa Borland, 2002. "Option Pricing Formulas based on a non-Gaussian Stock Price Model," Papers cond-mat/0204331, arXiv.org, revised Sep 2002.
    2. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
    3. Fuentes, M.A. & Wio, Horacio S. & Toral, Raúl, 2002. "Effective Markovian approximation for non-Gaussian noises: a path integral approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 303(1), pages 91-104.
    4. West, Bruce J. & Seshadri, V., 1982. "Linear systems with Lévy fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 113(1), pages 203-216.
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    Cited by:

    1. Arcand, Jean-Louis & Hongler, Max-Olivier & Rinaldo, Daniele, 2020. "Increasing risk: Dynamic mean-preserving spreads," Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 69-82.
    2. Max-Olivier Hongler & Roger Filliger, 2019. "On Jump-Diffusive Driving Noise Sources," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 753-764, September.

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