The non-markovian property of q-Gaussian process

DOI10.1016/J.CAMWA.2019.10.006MaRDI QIDQ2004643zbMATHOpenAlexFDO

Authors Yanyan Li

Publication date 7 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2019.10.006

zbMATH Keywords

martingaleself-similarityTsallis entropynon-Markovian\(q\)-Gaussian process

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Recommendations

• On \(q\)-Gaussians and exchangeability
• \(q\)-Gaussian processes: Non-commutative and classical aspects
• \(q\)-Wiener and \((\alpha,q)\)-Ornstein-Uhlenbeck processes. A generalization of known processes
• Nonhomogeneous fractional Poisson processes
• A theory of non‐Gaussian option pricing

Cites work

• scientific article; zbMATH DE number 3837095 (Why is no real title available?)
• A theory of non‐Gaussian option pricing
• Anomalous diffusion in linear shear flows
• Exploring the dynamics of financial markets: from stock prices to strategy returns
• Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
• On a \(q\) -central limit theorem consistent with nonextensive statistical mechanics
• Optimal investment problem under non-extensive statistical mechanics
• Possible generalization of Boltzmann-Gibbs statistics.
• Scale invariance and related properties of \(q\)-Gaussian systems

Cited in

(3)

• scientific article; zbMATH DE number 4169761 (Why is no real title available?)
• On \(q\)-Gaussians and exchangeability
• The \((q, t)\)-Gaussian process

This page was built for publication: The non-markovian property of \(q\)-Gaussian process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2004643)