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

Hiroya Nakao
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Abstract

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.

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Hiroya Nakao. 1998-02-03. Asymptotic power law of moments in a random multiplicative process with weak additive noise. https://doi.org/10.1103/physreve.58.1591

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