Stochastic Calculus and Differential Equations for Physics and Finance

DOI10.1017/CBO9781139019460zbMath1321.60002OpenAlexW1516247666MaRDI QIDQ4912827

Joseph L. McCauley

Publication date: 26 March 2013

Full work available at URL: https://doi.org/10.1017/cbo9781139019460

zbMATH Keywords

fractional Brownian motionmartingalesstochastic differential equationsstochastic calculusstatistical physicsFokker-Planck equationsmathematical financeeconometricssemi-martingalestime-series analysisKolmogorov PDEsItō prosesses

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Applications of statistics to biology and medical sciences; meta analysis (62P10) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Generalizations of martingales (60G48) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic integrals (60H05) Self-similar stochastic processes (60G18) Fokker-Planck equations (35Q84)

Related Items (4)

A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance ⋮ Time averaging, ageing and delay analysis of financial time series ⋮ A model of non-Gaussian diffusion in heterogeneous media ⋮ Variable diffusion in stock market fluctuations

This page was built for publication: Stochastic Calculus and Differential Equations for Physics and Finance