Long-run growth rate in a random multiplicative model

DOI10.1063/1.4886699zbMath1301.82041arXiv1503.02168OpenAlexW3098851752MaRDI QIDQ3189951

Dan Pirjol

Publication date: 12 September 2014

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.02168

zbMATH Keywords

Brownian motionlattice gasLyapunov exponentthermodynamical limit

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Brownian motion (60J65) Particle methods and lattice-gas methods (76M28) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Phase transitions (general) in equilibrium statistical mechanics (82B26) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Cellular automata (computational aspects) (68Q80) Critical phenomena in equilibrium statistical mechanics (82B27) Dynamical aspects of cellular automata (37B15)

Related Items

Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process ⋮ On the growth rate of a linear stochastic recursion with Markovian dependence ⋮ Thermodynamics of a lattice gas with linear attractive potential

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random matrices and Lyapunov coefficients regularity
• Implicit renewal theory and tails of solutions of random equations
• The stability of large random matrices and their products
• Weak convergence of random growth processes with applications to insurance
• Analycity properties of the characteristic exponents of random matrix products
• Random difference equations and renewal theory for products of random matrices
• Long-run growth rates of discrete multiplicative processes in Markovian environments
• Emergence of heavy-tailed distributions in a random multiplicative model driven by a Gaussian stochastic process
• Existence of a phase-transition in a one-dimensional Ising ferromagnet
• One-dimensional linear recursions with Markov-dependent coefficients
• Statistical mechanics of lattice systems
• Statistical mechanics of a one-dimensional lattice gas
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Exponential functionals of Brownian motion and disordered systems
• A Brief History of Generative Models for Power Law and Lognormal Distributions
• On the van der Waals Theory of the Vapor-Liquid Equilibrium. I. Discussion of a One-Dimensional Model
• Rigorous Treatment of the Van Der Waals-Maxwell Theory of the Liquid-Vapor Transition
• The Quantum-Mechanical Many-Body Problem: The Bose Gas
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options

This page was built for publication: Long-run growth rate in a random multiplicative model