A generalized entropy optimization modelling in the theory of stochastic differential equations

DOI10.1007/s42952-021-00139-zOpenAlexW3196039472WikidataQ115370697 ScholiaQ115370697MaRDI QIDQ2151586

Nihal Ince

Publication date: 5 July 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-021-00139-z

zbMATH Keywords

probability density functionrandom variableEuler-Maruyama methodgeneralized entropy optimization methods

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• OpenCourseWare

Cites Work

• Alternative models for stock price dynamics.
• Numerical methods for simulation of stochastic differential equations
• A new concept of relative suitability of moment function sets
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Generalized entropy optimization problems with finite moment function sets
• Numerical Solution of Stochastic Differential Equations in Finance
• Modeling with Itô Stochastic Differential Equations
• Elementary Stochastic Calculus, with Finance in View
• Applied Stochastic Differential Equations
• An introduction to continuous-time stochastic processes. Theory, models, and applications to finance, biology, and medicine.
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