Self-generated power-law tails in probability distributions.
We consider random processes characterized by the presence of correlations in their variance, or more generally in some of their moments. Typical examples are constituted by autoregressive conditional heteroskedasticity (ARCH) processes which are known to display power-law tails in the associated probability distributions. Here, we determine the corresponding exponents exactly and extend these results to relaxation phenomena which can be expected to play a role in natural sciences.
Roman
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INFN, Sezione di Milano, Via Celoria 16, 20133 Milano, Italy.
Porto
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