Topography of chance

Iddo I. Eliazar, Morrel H. Cohen

Research output: Contribution to journalArticle

19 Scopus citations

Abstract

We present a model of multiplicative Langevin dynamics that is based on two foundations: the Langevin equation and the notion of multiplicative evolution. The model is a nonlinear mechanism transforming a white-noise input to a dynamic-equilibrium output, using a single control: an underlying convex U-shaped potential function. The output is quantified by a stationary density which can attain a given number of shapes and a given number of randomness categories. The model generates each admissible combination of the output's shape and randomness in a universal and robust fashion. Moreover, practically all the probability distributions that are supported on the positive half-line, and that are commonly encountered and applied across the sciences, can be reverse engineered by this model. Hence, this model is a universal equilibrium mechanism, in the context of multiplicative dynamics, for the robust generation of "chance": the model's output. In turn, the properties of the produced "chance," the output's shape and randomness, are determined with mathematical precision by the control's landscape, its topography. Thus, a topographic map of chance is established. As a particular application, probability distributions with power-law tails are shown to be universally and robustly generated by controls on the "edge of convexity": convex U-shaped potential functions with asymptotically linear wings.

Original languageEnglish (US)
Article number052104
JournalPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
Volume88
Issue number5
DOIs
StatePublished - Nov 4 2013

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

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