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arXiv · 1008.0568

Interplay between positive feedbacks in the generalized CEV process

St. Reimann·V. Gontis·M. Alaburda
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Abstract

The dynamics of the {\em generalized} CEV process $dX_t = aX_t^n dt+ bX_t^m dW_t$ $(gCEV)$ is due to an interplay of two feedback mechanisms: State-to-Drift and State-to-Diffusion, whose degrees are $n$ and $m$ respectively. We particularly show that the gCEV, in which both feedback mechanisms are {\sc positive}, i.e. $n,m>1$, admits a stationary probability distribution $P$ provided that $n<2m-1$, which asymptotically decays as a power law $P(x) \sim \frac{1}{x^μ}$ with tail exponent $μ= 2m > 2$. Furthermore the power spectral density obeys $S(f) \sim \frac{1}{f^β}$, where $β= 2 - \:\frac{1+ε}{2(m-1)}$, $ε>0$. Bursting behavior of the gCEV is investigated numerically. Burst intensity $S$ and burst duration $T$ are shown to be related by $S\sim T^2$.

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St. Reimann, V. Gontis, M. Alaburda. 2010-08-03. Interplay between positive feedbacks in the generalized CEV process. https://doi.org/10.1016/j.physa.2010.11.043

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