Multiplicative processes and power laws

[Takayasu et al., Phys. Rev.Lett. 79, 966 (1997)] revisited the question of stochastic processes with multiplicative noise, which have been studied in several different contexts over the past decades. We focus on the regime, found for a generic set of control parameters, in which stochastic processes with multiplicative noise produce intermittency of a special kind, characterized by a power law probability density distribution. We briefly explain the physical mechanism leading to a power law pdf and provide a list of references for these results dating back from a quarter of century. We explain how the formulation in terms of the characteristic function developed by Takayasu et al. can be extended to exponents $\mu >2$, which explains the ``reason of the lucky coincidence''. The multidimensional generalization of (\ref{eq1}) and the available results are briefly summarized. The discovery of stretched exponential tails in the presence of the cut-off introduced in \cite{Taka} is explained theoretically. We end by briefly listing applications.Comment: Extended version (7 pages). Phys. Rev. E (to appear April 1998

Systems with Multiplicative Noise: Critical Behavior from KPZ Equation and Numerics

We show that certain critical exponents of systems with multiplicative noise can be obtained from exponents of the KPZ equation. Numerical simulations in 1d confirm this prediction, and yield other exponents of the multiplicative noise problem. The numerics also verify an earlier prediction of the divergence of the susceptibility over an entire range of control parameter values, and show that the exponent governing the divergence in this range varies continuously with control parameter.Comment: Four pages (In Revtex format) with 4 figures (in Postcript

Universal Scaling Properties in Large Assemblies of Simple Dynamical Units Driven by Long-Wave Random Forcing

Large assemblies of nonlinear dynamical units driven by a long-wave fluctuating external field are found to generate strong turbulence with scaling properties. This type of turbulence is so robust that it persists over a finite parameter range with parameter-dependent exponents of singularity, and is insensitive to the specific nature of the dynamical units involved. Whether or not the units are coupled with their neighborhood is also unimportant. It is discovered numerically that the derivative of the field exhibits strong spatial intermittency with multifractal structure.Comment: 10 pages, 7 figures, submitted to PR

Asymptotic power law of moments in a random multiplicative process with weak additive noise

It is well known that a random multiplicative process with weak additive noise generates a power-law probability distribution. It has recently been recognized that this process exhibits another type of power law: the moment of the stochastic variable scales as a function of the additive noise strength. We clarify the mechanism for this power-law behavior of moments by treating a simple Langevin-type model both approximately and exactly, and argue this mechanism is universal. We also discuss the relevance of our findings to noisy on-off intermittency and to singular spatio-temporal chaos recently observed in systems of non-locally coupled elements.Comment: 11 pages, 9 figures, submitted to Phys. Rev.

Effective Hamiltonians in quantum optics: a systematic approach

We discuss a general and systematic method for obtaining effective Hamiltonians that describe different nonlinear optical processes. The method exploits the existence of a nonlinear deformation of the usual su(2) algebra that arises as the dynamical symmetry of the original model. When some physical parameter, dictated by the process under consideration, becomes small, we immediately get a diagonal effective Hamiltonian that correctly represents the dynamics for arbitrary states and long times. We extend the technique to su(3) and su(N), finding the corresponding effective Hamiltonians when some resonance conditions are fulfilled.Comment: 13 Pages, no figures, submitted for publicatio

Adiabatic reduction near a bifurcation in stochastically modulated systems

We re-examine the procedure of adiabatic elimination of fast relaxing variables near a bifurcation point when some of the parameters of the system are stochastically modulated. Approximate stationary solutions of the Fokker-Planck equation are obtained near threshold for the pitchfork and transcritical bifurcations. Stochastic resonance between fast variables and random modulation may shift the effective bifurcation point by an amount proportional to the intensity of the fluctuations. We also find that fluctuations of the fast variables above threshold are not always Gaussian and centered around the (deterministic) center manifold as was previously believed. Numerical solutions obtained for a few illustrative examples support these conclusions.Comment: RevTeX, 19 pages and 16 figure

Clinically stable very low birthweight infants are at risk for recurrent tissue glucose fluctuations even after fully established enteral nutrition

Objective: In previous cases, we have observed occasional hypoglycaemic episodes in preterm infants after initial intensive care. In this prospective study, we determined the frequency and severity of abnormal tissue glucose (TG) in clinically stable preterm infants on full enteral nutrition. Methods: Preterm infants born at <1000 g (n=23; G1) and birth weight 1000–1500 g (n=18; G2) were studied at a postmenstrual age of 32±2 weeks (G1) and 33±2 weeks (G2). Infants were fed two or three hourly, according to a standard bolus-nutrition protocol, and continuous subcutaneous glucose measurements were performed for 72 h. Normal glucose values were assumed at ≥2.5 mmol/L (45 mg/dL) and ≤8.3 mmol/L (150 mg/dL). Frequency, severity and duration of glucose values beyond normal values were determined. Results: We observed asymptomatic low TG values in 39% of infants in G1 and in 44% in G2. High TG values were detected in 83% in G1 and 61% in G2. Infants in G1 experienced prolonged and more severe low TG episodes, and also more frequent and severe high TG episodes. In G1 and G2, 87% and 67% of the infants, respectively, showed glucose fluctuations characterised by rapid glucose increase followed by a rapid glucose drop after feeds. In more mature infants, glucose fluctuations were less pronounced and less dependent on enteral feeds. Conclusions: Clinically stable well-developing preterm infants beyond their initial period of intensive care show interstitial glucose instabilities exceeding values as low as 2.5 mmol/L and as high as 8.3 mmol/L. This novel observation may play an important role for the susceptibility of these high-risk infants for the development of the metabolic syndrome

Polymer transport in random flow

The dynamics of polymers in a random smooth flow is investigated in the framework of the Hookean dumbbell model. The analytical expression of the time-dependent probability density function of polymer elongation is derived explicitly for a Gaussian, rapidly changing flow. When polymers are in the coiled state the pdf reaches a stationary state characterized by power-law tails both for small and large arguments compared to the equilibrium length. The characteristic relaxation time is computed as a function of the Weissenberg number. In the stretched state the pdf is unstationary and exhibits multiscaling. Numerical simulations for the two-dimensional Navier-Stokes flow confirm the relevance of theoretical results obtained for the delta-correlated model.Comment: 28 pages, 6 figure

From short to fat tails in financial markets: A unified description

In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a real dataset, namely, price fluctuations, in a wide range of temporal scales to embrace both regimes. By means of Kramers-Moyal (KM) coefficients evaluated from empirical time series, we obtain the evolution equation for the probability density function (PDF) of price returns. We also present consistent asymptotic solutions for the timescale dependent equation that emerges from the empirical analysis. From these solutions, new relationships connecting PDF characteristics, such as tail exponents, to parameters of KM coefficients arise. The results reveal a dynamical path that leads from Gaussian to fat-tailed statistics, furnishing insights on other complex systems where akin crossover is observed.Comment: 11 pages, 5 figure

Truncated Levy Random Walks and Generalized Cauchy Processes

A continuous Markovian model for truncated Levy random walks is proposed. It generalizes the approach developed previously by Lubashevsky et al. Phys. Rev. E 79, 011110 (2009); 80, 031148 (2009), Eur. Phys. J. B 78, 207 (2010) allowing for nonlinear friction in wondering particle motion and saturation of the noise intensity depending on the particle velocity. Both the effects have own reason to be considered and individually give rise to truncated Levy random walks as shown in the paper. The nonlinear Langevin equation governing the particle motion was solved numerically using an order 1.5 strong stochastic Runge-Kutta method and the obtained numerical data were employed to calculate the geometric mean of the particle displacement during a certain time interval and to construct its distribution function. It is demonstrated that the time dependence of the geometric mean comprises three fragments following one another as the time scale increases that can be categorized as the ballistic regime, the Levy type regime (superballistic, quasiballistic, or superdiffusive one), and the standard motion of Brownian particles. For the intermediate Levy type part the distribution of the particle displacement is found to be of the generalized Cauchy form with cutoff. Besides, the properties of the random walks at hand are shown to be determined mainly by a certain ratio of the friction coefficient and the noise intensity rather then their characteristics individually.Comment: 7 pages, 3 figure