Multifractal analysis of time series generated by discrete Ito equations

Journal Article · Mon Jun 15 00:00:00 EDT 2015 · Chaos (Woodbury, N. Y.)

DOI:https://doi.org/10.1063/1.4922592· OSTI ID:22402566

Telesca, Luciano ^[1]; Czechowski, Zbigniew ^[2]; Lovallo, Michele ^[3]

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1. National Research Council, Institute of Methodologies for Environmental Analysis, C.da S. Loja, 85050 Tito (PZ) (Italy)
2. Institute of Geophysics Polish Academy of Sciences, 01-452 Warsaw, Ks. Janusza 64 (Poland)
3. ARPAB, 85100 Potenza (Italy)

In this study, we show that discrete Ito equations with short-tail Gaussian marginal distribution function generate multifractal time series. The multifractality is due to the nonlinear correlations, which are hidden in Markov processes and are generated by the interrelation between the drift and the multiplicative stochastic forces in the Ito equation. A link between the range of the generalized Hurst exponents and the mean of the squares of all averaged net forces is suggested.

• OSTI ID: 22402566
• Journal Information: Chaos (Woodbury, N. Y.), Journal Name: Chaos (Woodbury, N. Y.) Journal Issue: 6 Vol. 25; ISSN CHAOEH; ISSN 1054-1500
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
CORRELATIONS
DISTRIBUTION FUNCTIONS
GAUSS FUNCTION
MARKOV PROCESS
NONLINEAR PROBLEMS