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DY: Fachverband Dynamik und Statistische Physik
DY 25: Nonlinear Stochastic Systems
DY 25.5: Talk
Tuesday, March 17, 2015, 16:00–16:15, BH-N 128
1/f noise from the scaling and the nonlinear transformations of the variables — •Bronislovas Kaulakys, Miglius Alaburda, and Julius Ruseckas — Institute of Theoretical Physics and Astronomy, Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania
Modeling of the low-frequency noise 1/fβ observable in different systems, from physics to financial markets, still remains a challenge. Different models and theories have been proposed for explanation of this phenomenon. Recently, the stochastic model of 1/fβ noise, based on the nonlinear stochastic differential equations has been proposed and analyzed [1]. Here we employ the self-similarity property of the nonlinear transformation of the nonlinear stochastic differential equations [2]. We show that processes with 1/fβ spectrum may yield from the nonlinear transformation of the variable of the widespread processes, e.g., from the Brownian motion, Bessel or similar familiar processes. Analytical and numerical investigations of such techniques for modeling processes with 1/fβ fluctuations will be presented.
[1] J. Ruseckas and B. Kaulakys, Phys. Rev. E 81, 031105 (2010).
[2] J. Ruseckas and B. Kaulakys, J. Stat. Mech. P06005 (2014).