Stochastic flow cascades

DOI10.1007/S10955-011-0340-6MaRDI QIDQ664572zbMATH OpenOpenAlexFDO

Authors Michael F. Shlesinger, Iddo I. Eliazar

Publication date 2 March 2012

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10955-011-0340-6

zbMATH Keywords

heavy tailsrobustnessPoisson processesLangevin equationmoving averagesNoah effectconvolution filterscorrelation differencesJoseph effectlong-ranged correlationsretention timesLévy laws

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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• Theory of Financial Risk and Derivative Pricing

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(1)

• Noise cascades and Lévy correlations

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