Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/18865
Title: Integrated random processes exhibiting long tails, finite moments, and power-law spectra
Author: Masoliver, Jaume, 1951-
Montero Torralbo, Miquel
McKane, A. J.
Keywords: Fluctuacions (Física)
Processos estocàstics
Fluctuations (Physics)
Stochastic processes
Issue Date: 2001
Publisher: The American Physical Society
Abstract: A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling assumption, takes on a form that is the basis of the results derived in the rest of the paper. One of these is an expansion for the cumulants, which are all finite, subject to mild conditions on the functions defining the process. This is in contrast with the Lévy distribution¿which can be obtained from our model in certain limits¿which has no finite moments. The evaluation of the spectral density and the form of the probability density function in the tails of the distribution shows that the model exhibits a power-law spectrum and long tails in a natural way. A careful analysis of the characteristic function shows that it may be separated into a part representing a Lévy process together with another part representing the deviation of our model from the Lévy process. This
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.64.011110
It is part of: Physical Review e, 2001, vol. 64, núm. 1, p. 011110-01-011110-11
URI: http://hdl.handle.net/2445/18865
ISSN: 1063-651X
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

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