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  • Search: subject:"Subdiffusion"
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Year of publication
Subject
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Subdiffusion 15 Calibration 4 Option pricing 4 Option pricing theory 4 Optionspreistheorie 4 Estimation 3 Stochastic process 3 Stochastischer Prozess 3 Subordinator 3 subdiffusion 3 Anomalous diffusion 2 Continuous time random walks 2 Fractional Fokker-Planck equation 2 Fractional calculus 2 Hitting time 2 Interest rates 2 Inversesubordinator 2 Ornstein-Uhlenbeck process 2 Subdiffusion models 2 Subordination 2 Tempered stable distribution 2 Time-changed process 2 Transaction costs 2 Volatility 2 Volatilität 2 Accelerating-subdiffusion 1 Advection field 1 Agarose gel solution 1 Alpha-stable distribution 1 Bachelier model 1 Basset force 1 Black-Scholes model 1 Black-Scholes-Modell 1 Black–Scholes formula 1 Brownian ratchet 1 CAPM 1 CEV 1 CTRW 1 Concentration profiles 1 Currency option 1
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Online availability
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Undetermined 16 Free 6
Type of publication
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Article 15 Book / Working Paper 7
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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Undetermined 15 English 7
Author
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Wyłomańska, Agnieszka 4 Janczura, Joanna 3 Gajda, Janusz 2 Magdziarz, Marcin 2 Orzel, Sebastian 2 Shchestyuk, Nataliya 2 Tyshchenkob, Sergii 2 Wylomanska, Agnieszka 2 Agnieszka, Wyłomańska 1 Baeumer, B. 1 Baumgærtner, A. 1 Benson, D.A. 1 Budinski-Petković, Lj. 1 Camilli, Fabio 1 Dupret, Jean-Loup 1 Dworecki, K. 1 Fodor, Étienne 1 Grebenkov, Denis S. 1 Hainaut, Donatien 1 Hilfer, R. 1 Jakšić, Z.M. 1 Kılıçman, Adem 1 Liang, Jin-Rong 1 Liu, Allen 1 Lončarević, I. 1 Lv, Long-Jin 1 Marseguerra, M. 1 Meerschaert, M.M. 1 Narasimhan, S.L. 1 Orzeł, Sebastian 1 Petković, M. 1 Qiu, Wei-Yuan 1 Ren, Fu-Yao 1 Sebastian, Orzeł 1 Shokrollahi, Foad 1 Tang, Qing 1 Tong, Kevin Z. 1 Visco, Paolo 1 Vrhovac, S.B. 1 Wang, Jun 1
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Institution
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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Physica A: Statistical Mechanics and its Applications 11 HSC Research Reports 3 International journal of financial engineering 2 MPRA Paper 2 Dynamic games and applications : DGA 1 Quantitative finance 1 Working Paper 1 Working paper 1
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Source
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RePEc 16 ECONIS (ZBW) 5 EconStor 1
Showing 21 - 22 of 22
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Advection and dispersion in time and space
Baeumer, B.; Benson, D.A.; Meerschaert, M.M. - In: Physica A: Statistical Mechanics and its Applications 350 (2005) 2, pp. 245-262
Previous work showed how moving particles that rest along their trajectory lead to time-nonlocal advection–dispersion equations. If the waiting times have infinite mean, the model equation contains a fractional time derivative of order between 0 and 1. In this article, we develop a new...
Persistent link: https://www.econbiz.de/10010590594
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On fractional diffusion and continuous time random walks
Hilfer, R. - In: Physica A: Statistical Mechanics and its Applications 329 (2003) 1, pp. 35-40
A continuous time random walk model is presented with long-tailed waiting time density that approaches a Gaussian distribution in the continuum limit. This example shows that continuous time random walks with long time tails and diffusion equations with a fractional time derivative are in...
Persistent link: https://www.econbiz.de/10010590294
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