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arXiv 0909.0906cond-mat.stat-mech
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相关性引起的反常标度:极限定理和自相似过程

Anomalous scaling due to correlations: Limit theorems and self-similar processes

Attilio L. Stella, Fulvio Baldovin

摘要:

我们推导出定理,概述了明确的机制,其中异常标度的概率密度函数的许多相关的随机变量的总和渐近盛行。结果一般的异常标度形式的特点,证明其普遍的字符,并指定在空间中的联合概率密度函数的被加数变量的普遍性域。假设这些密度函数在其参数的任意排列下是不变的。从临界现象理论的例子进行了讨论。新的概念的稳定性所隐含的极限定理也允许我们定义序列的随机变量,其总和满足异常标度的任何有限数量的被加数。如果被认为是在时间上发展的,则由这些变量描述的随机过程是具有不相关增量的高斯过程的非马尔可夫概括,并且提供例如,最近提出的金融指数演化模型的明确实现。

英文摘要:

We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability density function of the sum of many correlated random variables asymptotically prevails. The results characterize general anomalous scaling forms, justify their universal character, and specify universality domains in the spaces of joint probability density functions of the summand variables. These density functions are assumed to be invariant under arbitrary permutations of their arguments. Examples from the theory of critical phenomena are discussed. The novel notion of stability implied by the limit theorems also allows us to define sequences of random variables whose sum satisfies anomalous scaling for any finite number of summands. If regarded as developing in time, the stochastic processes described by these variables are non-Markovian generalizations of Gaussian processes with uncorrelated increments, and provide, e.g., explicit realizations of a recently proposed model of index evolution in finance.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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