Dresden 2011 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 18: Financial Markets and Risk Management I

SOE 18.6: Vortrag

Donnerstag, 17. März 2011, 11:45–12:00, GÖR 226

Solutions of nonlinear stochastic differential equations with long-range power-law distributions — •Julius Ruseckas, Vygintas Gontis, and Bronislovas Kaulakys — Institute of Theoretical Physics and Astronomy, Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania

A class of nonlinear stochastic differential equations, providing the long-range processes, the power-law behavior of spectra, including 1/f noise, and the power-law distributions of the probability density has been proposed [1] and solved [2]. The models involve the Generalized Constant Elasticity of Variance Process, the Bessel Process and the Squared Bessel Process, which are applied for modeling of the financial markets [3].

[1] B. Kaulakys, J. Ruseckas, V. Gontis and M. Alaburda, Physica A 365, 217 (2006); B. Kaulakys and M. Alaburda, J. Stat. Mech. P02051 (2009).

[2] J. Ruseckas and B. Kaulakys, Phys. Rev. E 81, 031105 (2010).

[3] V. Gontis, J. Ruseckas and A. Kononovicius, Physica A 389, 100 (2010).