Applied diffusion processes from engineering to finance

zbMATH Open1374.60002MaRDI QIDQ4912976FDOQ4912976

Authors: Jacques Janssen, Oronzio Manca, Raimondo Manca 

Publication date: 2 April 2013

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Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80)

Cited In (8)

• Regular and anomalous diffusion. I: Foundations
• Exact simulation of the first-passage time of diffusions
• Steady State Probabilistic Characteristics of the On/Off Production Rate Control Production-Inventory System with MMPP Demand Arrivals
• Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
• Functionals of multidimensional diffusions with applications to finance
• Weak convergence of marked point processes generated by crossings of multivariate jump processes. applications to neural network modeling
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
• Exact simulation of the first passage time through a given level of jump diffusions

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