Coupled nonlinear stochastic differential equations generating arbitrary distributed observable with 1/f noise

DOI10.1088/1742-5468/2016/04/043209zbMath1456.60152arXiv1603.03013OpenAlexW3102816229MaRDI QIDQ3302604

Rytis Kazakevičius, Bronislovas Kaulakys, Julius Ruseckas

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03013

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• On \(1/f\) noise
• Violation of the fluctuation-dissipation theorem and heating effects in the time-dependent Kondo model
• Violation of the fluctuation-dissipation theorem in finite-dimensional spin glasses
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Entropy of dialogues creates coherent structures in e-mail traffic
• Fractal‐Based Point Processes
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
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