The non-markovian property of q-Gaussian process

DOI10.1016/J.CAMWA.2019.10.006zbMATH Open1443.82012OpenAlexW2982168996MaRDI QIDQ2004643FDOQ2004643

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

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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)

Cites Work

• Possible generalization of Boltzmann-Gibbs statistics.
• On a \(q\) -central limit theorem consistent with nonextensive statistical mechanics
• Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
• Title not available (Why is that?)
• A theory of non‐Gaussian option pricing
• Exploring the dynamics of financial markets: from stock prices to strategy returns
• Scale invariance and related properties of \(q\)-Gaussian systems
• Anomalous diffusion in linear shear flows
• Optimal investment problem under non-extensive statistical mechanics

Cited In (3)

• On \(q\)-Gaussians and exchangeability
• Title not available (Why is that?)
• The \((q, t)\)-Gaussian process

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