Lévy scaling in random walks with fluctuating variance

Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics

Volumn 61, Issue 1, 2000, Pages 93-99

  Santini, P ^a  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

MARKOV PROCESSES; PROBABILITY DISTRIBUTIONS;

CORRELATED FLUCTUATIONS; ECONOMIC TIME SERIES; FIXED VARIANCE; GAUSSIAN REGIME; HETEROSKEDASTICITY; MARKOV CHAIN PROCESS; RANDOM WALK; SHORT TIME SCALE;

DISTRIBUTION FUNCTIONS;

EID: 4243804998     PISSN: 1063651X     EISSN: None     Source Type: Journal    
DOI: 10.1103/PhysRevE.61.93     Document Type: Article

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54. If all the moments of (Formula presented) are finite [this is true for the processes of Eq. (3) because (Formula presented) decays exponentially at large (Formula presented); see the discussion after Eq. (13)], because of Hö(Formula presented)s inequality 1, all mixed moments and cumulants of (Formula presented) are finite too.
55. Below 20 min, weak linear autocorrelations of the increments yield a superdiffusive behavior [i.e., (Formula presented) (Formula presented), which cannot be included in the present model. The value (Formula presented) is of the order of the average (Formula presented) measured for (Formula presented) 33.