skip to main content
OSTI.GOV title logo U.S. Department of Energy
Office of Scientific and Technical Information

Title: Long-run growth rate in a random multiplicative model

Abstract

We consider the long-run growth rate of the average value of a random multiplicative process x{sub i+1} = a{sub i}x{sub i} where the multipliers a{sub i}=1+ρexp(σW{sub i}₋1/2 σ²t{sub i}) have Markovian dependence given by the exponential of a standard Brownian motion W{sub i}. The average value (x{sub n}) is given by the grand partition function of a one-dimensional lattice gas with two-body linear attractive interactions placed in a uniform field. We study the Lyapunov exponent λ=lim{sub n→∞}1/n log(x{sub n}), at fixed β=1/2 σ²t{sub n}n, and show that it is given by the equation of state of the lattice gas in thermodynamical equilibrium. The Lyapunov exponent has discontinuous partial derivatives along a curve in the (ρ, β) plane ending at a critical point (ρ{sub C}, β{sub C}) which is related to a phase transition in the equivalent lattice gas. Using the equivalence of the lattice gas with a bosonic system, we obtain the exact solution for the equation of state in the thermodynamical limit n → ∞.

Authors:
 [1]
  1. Institute for Physics and Nuclear Engineering, 077125 Bucharest (Romania)
Publication Date:
OSTI Identifier:
22306202
Resource Type:
Journal Article
Resource Relation:
Journal Name: Journal of Mathematical Physics; Journal Volume: 55; Journal Issue: 8; Other Information: (c) 2014 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; BROWNIAN MOVEMENT; EQUATIONS OF STATE; EXACT SOLUTIONS; LYAPUNOV METHOD; MARKOV PROCESS; PARTITION FUNCTIONS; RANDOMNESS

Citation Formats

Pirjol, Dan. Long-run growth rate in a random multiplicative model. United States: N. p., 2014. Web. doi:10.1063/1.4886699.
Pirjol, Dan. Long-run growth rate in a random multiplicative model. United States. doi:10.1063/1.4886699.
Pirjol, Dan. Fri . "Long-run growth rate in a random multiplicative model". United States. doi:10.1063/1.4886699.
@article{osti_22306202,
title = {Long-run growth rate in a random multiplicative model},
author = {Pirjol, Dan},
abstractNote = {We consider the long-run growth rate of the average value of a random multiplicative process x{sub i+1} = a{sub i}x{sub i} where the multipliers a{sub i}=1+ρexp(σW{sub i}₋1/2 σ²t{sub i}) have Markovian dependence given by the exponential of a standard Brownian motion W{sub i}. The average value (x{sub n}) is given by the grand partition function of a one-dimensional lattice gas with two-body linear attractive interactions placed in a uniform field. We study the Lyapunov exponent λ=lim{sub n→∞}1/n log(x{sub n}), at fixed β=1/2 σ²t{sub n}n, and show that it is given by the equation of state of the lattice gas in thermodynamical equilibrium. The Lyapunov exponent has discontinuous partial derivatives along a curve in the (ρ, β) plane ending at a critical point (ρ{sub C}, β{sub C}) which is related to a phase transition in the equivalent lattice gas. Using the equivalence of the lattice gas with a bosonic system, we obtain the exact solution for the equation of state in the thermodynamical limit n → ∞.},
doi = {10.1063/1.4886699},
journal = {Journal of Mathematical Physics},
number = 8,
volume = 55,
place = {United States},
year = {Fri Aug 01 00:00:00 EDT 2014},
month = {Fri Aug 01 00:00:00 EDT 2014}
}