Title: Solutions of nonlinear stochastic differential equations with 1/ƒ noise power spectrum
Abstract:The special nonlinear stochastic differential equations generating power-law distributed signals and 1/f noise are considered. The models involve the generalized Constant Elasticity of Variance (CEV) ...The special nonlinear stochastic differential equations generating power-law distributed signals and 1/f noise are considered. The models involve the generalized Constant Elasticity of Variance (CEV) process, the Bessel process, the Squared Bessel process, and the Cox-Ingersoll-Ross (CIR) process, which are applied for modeling the financial markets, as well. In the paper, 1/f <sup xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">β</sup> behavior of the power spectral density is derived directly from the nonlinear stochastic differential equations and the exact solutions for the particular CEV process are presented.Read More
Publication Year: 2011
Publication Date: 2011-06-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot