Path probability of stochastic motion: a functional approach

DOI10.1016/J.PHYSA.2016.01.053MaRDI QIDQ1619386zbMATH OpenOpenAlexFDO

Authors Masayuki Hattori, Sumiyoshi Abe

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.04363

zbMATH Keywords

stochastic processesstock pricepath probability distribution functionals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Sample path properties (60G17)

Abstract: The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a tube/band, the center of which is stipulated by a given path, is analytically evaluated in a way analogous to continuous measurements in quantum mechanics. Then, the formalism developed here is applied to the stochastic dynamics of stock price in finance.

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Erratum: Continuous quantum measurements: restricted path integrals and master equations
• Fluctuations and Irreversible Processes
• Nonequilibrium statistical mechanics
• Path probability distribution of stochastic motion of non dissipative systems: a classical analog of Feynman factor of path integral
• Stochastic processes for physicists. Understanding noisy systems.
• The Fokker-Planck equation. Methods of solution and applications.

Cited in

(4)

• Application of the path integral for calculation of simultaneous probability density
• Occurrence probabilities of stochastic paths.
• Work fluctuations in the active Ornstein–Uhlenbeck particle model
• Probabilistic properties of near-optimal trajectories of an agent moving over a lattice

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