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Microscopic Chaos And Gaussian Diffusion Processes, L. Y. Chew, Christopher Ting
Microscopic Chaos And Gaussian Diffusion Processes, L. Y. Chew, Christopher Ting
Research Collection Lee Kong Chian School Of Business
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.