Emergence of Heavy-Tailed Distributions in a Random Multiplicative Model Driven by a Gaussian Stochastic Process

Abstract

We consider a random multiplicative stochastic process with multipliers given by the exponential of a Brownian motion. The positive integer moments of the distribution function can be computed exactly, and can be represented as the grand partition function of an equivalent lattice gas with attractive 2-body interactions. The numerical results for the positive integer moments display a sharp transition at a critical value of the model parameters, which corresponds to a phase transition in the equivalent lattice gas model. The shape of the terminal distribution changes suddenly at the critical point to a heavy-tailed distribution. The transition can be related to the position of the complex zeros of the grand partition function of the lattice gas, in analogy with the Lee, Yang picture of phase transitions in statistical mechanics. We study the properties of the equivalent lattice gas in the thermodynamical limit, which corresponds to the continuous time limit of the random multiplicative model, and derive the asymptotics of the approach to the continuous time limit. The results can be generalized to a wider class of random multiplicative processes, driven by the exponential of a Gaussian stochastic process.