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

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)
Publisher:
American Institute of Physics (AIP)
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