Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
Year of publication: |
2007-02-22
|
---|---|
Authors: | McCauley, Joseph L. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Stochastic process | martingale | Ito process | stochastic differential eqn. | memory | nonMarkov process | 2 backward time diffusion | Fokker-Planck | Kolmogorov’s partial differential eqns. | Chapman-Kolmogorov eqn. | Black- Scholes eqn |
-
Ito Processes with Finitely Many States of Memory
McCauley, Joseph L., (2007)
-
Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
McCauley, Joseph L., (2007)
-
Explainable Machine Learning Models of Consumer Credit Risk
Davis, Randall, (2022)
- More ...
-
Response to worrying trends in econophysics
McCauley, Joseph L., (2006)
-
Martingales, the efficient market hypothesis, and spurious stylized facts
McCauley, Joseph L., (2007)
-
McCauley, Joseph L., (2007)
- More ...