Emergence of heavy-tailed distributions in a random multiplicative model driven by a Gaussian stochastic process
DOI10.1007/S10955-013-0889-3zbMATH Open1291.82039OpenAlexW2068621127MaRDI QIDQ2016548FDOQ2016548
Publication date: 20 June 2014
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-013-0889-3
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Cited In (7)
- Emergence of heavy-tailed skew distributions from the heat equation
- On the growth rate of a linear stochastic recursion with Markovian dependence
- Similarity and probability distribution functions in many-body stochastic processes with multiplicative interactions
- Asymptotics for the Euler-discretized Hull-White stochastic volatility model
- Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process
- Heavy-tailed Distributions in Some Stochastic Dynamical Models
- Long-run growth rate in a random multiplicative model
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