Power-law tails from multiplicative noise

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103 Citations (Scopus)

Abstract

We show that the well-known linear Langevin equation, modeling the Brownian motion and leading to a Gaussian stationary distribution of the corresponding Fokker-Planck equation, is changed by the smallest multiplicative noise. This leads to a power-law tail of the distribution for sufficiently large momenta. At finite ratio of the correlation strength for the multiplicative and the additive noises the stationary energy distribution becomes exactly the Tsallis distribution.

Original languageEnglish
Article number132302
JournalPhysical Review Letters
Volume94
Issue number13
DOIs
Publication statusPublished - Apr 8 2005

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Fokker-Planck equation
energy distribution
momentum

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Power-law tails from multiplicative noise. / Bíró, T.; Jakovác, A.

In: Physical Review Letters, Vol. 94, No. 13, 132302, 08.04.2005.

Research output: Contribution to journalArticle

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