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Title: Multifractal analysis of time series generated by discrete Ito equations

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.
Authors:
 [1] ;  [2] ;  [3]
  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)
Publication Date:
OSTI Identifier:
22402566
Resource Type:
Journal Article
Resource Relation:
Journal Name: Chaos (Woodbury, N. Y.); Journal Volume: 25; Journal Issue: 6; Other Information: (c) 2015 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; CORRELATIONS; DISTRIBUTION FUNCTIONS; GAUSS FUNCTION; MARKOV PROCESS; NONLINEAR PROBLEMS