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  • Search: subject:"Kolmogorov’s backward time eqn."
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Black-Scholes eqn 1 Chapman-Kolmogorov eqn. 1 Fokker-Planck eqn. 1 Ito process 1 Kolmogorov’s backward time eqn. 1 Langevin eqn. 1 martingale 1 memory 1 nonMarkov process 1 stochastic differential eqn. 1
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McCauley, Joseph L. 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Ito Processes with Finitely Many States of Memory
McCauley, Joseph L. - Volkswirtschaftliche Fakultät, … - 2007
We show that Ito processes imply the Fokker-Planck (K2) and Kolmogorov backward time (K1) partial differential eqns. (pde) for transition densities, which in turn imply the Chapman-Kolmogorov equation without approximations. This result is not restricted to Markov processes. We define ‘finite...
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