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Exact moment scaling from multiplicative noise
Giacomo Bormetti1, Danilo Delpini
1CeRS-IUSS, Vle Lungo Ticino Sforza 56, Pavia 27100, Italy. giacomo.bormetti@pv.infn.it
Abstract:
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We allow for a nontrivial time dependence of the microscopic dynamics and we analytically characterize the process evolution, possibly toward a stationary state, and the direct relationship existing between the drift and diffusion coefficients and the time scaling of the moments.
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