Publication Type
Journal Article
Publication Date
5-2002
Abstract
In this paper, we construct and analyze a prototypical model of microscopic chaos. In particular, we extend the results of Beck and Shimizu to the case where the microscopic time scale r is no longer small. The upshot is that a non-Ornstein-Uhlenbeck deterministic process can generate a Gaussian diffusion process.
Keywords
Chaos, Gaussian diffusion process, Brownian motion, Non-Ornstein-Uhlenbeck process, Equipartition theorem, Einstein's diffusion, Green-Kubo relation
Discipline
Management Sciences and Quantitative Methods | Physical Sciences and Mathematics
Research Areas
Quantitative Finance
Publication
Physica A: Statistical Mechanics and its Applications
Volume
307
Issue
3-4
First Page
275
Last Page
296
ISSN
0378-4371
Identifier
10.1016/S0378-4371(01)00613-6
Publisher
Elsevier
Citation
CHEW, L. Y. and TING, Christopher.
Microscopic Chaos and Gaussian Diffusion Processes. (2002). Physica A: Statistical Mechanics and its Applications. 307, (3-4), 275-296. Research Collection Lee Kong Chian School Of Business.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1875
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Additional URL
http://doi.org/10.1016/S0378-4371(01)00613-6
Included in
Management Sciences and Quantitative Methods Commons, Physical Sciences and Mathematics Commons