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  • Search: subject:"Kolmogorov’s partial differential eqns."
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2 backward time diffusion 1 Black- Scholes eqn 1 Chapman-Kolmogorov eqn. 1 Fokker-Planck 1 Ito process 1 Kolmogorov’s partial differential eqns. 1 Stochastic process 1 martingale 1 memory 1 nonMarkov process 1 stochastic differential eqn. 1
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Book / Working Paper 1
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McCauley, Joseph L. 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
McCauley, Joseph L. - Volkswirtschaftliche Fakultät, … - 2007
The usual derivation of the Fokker-Planck partial differential eqn. (pde) assumes the Chapman-Kolmogorov equation for a Markov process [1,2]. Starting instead with an Ito stochastic differential equation (sde), we argue that finitely many states of memory are allowed in Kolmogorov’s two pdes,...
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