IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

From shape to randomness: A classification of Langevin stochasticity

Listed author(s):
  • Eliazar, Iddo
  • Cohen, Morrel H.
Registered author(s):

    The Langevin equation–perhaps the most elemental stochastic differential equation in the physical sciences–describes the dynamics of a random motion driven simultaneously by a deterministic potential field and by a stochastic white noise. The Langevin equation is, in effect, a mechanism that maps the stochastic white-noise input to a stochastic output: a stationary steady state distribution in the case of potential wells, and a transient extremum distribution in the case of potential gradients. In this paper we explore the degree of randomness of the Langevin equation’s stochastic output, and classify it à la Mandelbrot into five states of randomness ranging from “infra-mild” to “ultra-wild”. We establish closed-form and highly implementable analytic results that determine the randomness of the Langevin equation’s stochastic output–based on the shape of the Langevin equation’s potential field.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 392 (2013)
    Issue (Month): 1 ()
    Pages: 27-42

    in new window

    Handle: RePEc:eee:phsmap:v:392:y:2013:i:1:p:27-42
    DOI: 10.1016/j.physa.2012.08.009
    Contact details of provider: Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:392:y:2013:i:1:p:27-42. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.