Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case

DOI10.1016/J.CNSNS.2009.06.010zbMath1221.60129OpenAlexW2060651286MaRDI QIDQ718268

Enrico Scalas, Guido Germano, Mauro Politi, Rene L. Schilling

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2009.06.010

zbMATH Keywords

Monte Carlostochastic integralsprobabilistic simulationstochastic modelcontinuous-time random walkeconophysicsprobabilistic modelstochastic theorystochastic jump process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic integrals (60H05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)

Related Items (5)

Quenched trap model for Lévy flights ⋮ Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review ⋮ Method of calculating densities for isotropic ballistic Lévy walks ⋮ Asymptotic properties and numerical simulation of multidimensional Lévy walks ⋮ Random numbers from the tails of probability distributions using the transformation method

Uses Software

• mlrnd

Cites Work

• Random Walks on Lattices. II
• Semi-Markov Risk Models for Finance, Insurance and Reliability
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• Option pricing when underlying stock returns are discontinuous
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case