Applied diffusion processes from engineering to finance

zbMATH Open1374.60002MaRDI QIDQ4912976FDOQ4912976

Oronzio Manca, Jacques Janssen, Raimondo Manca

Publication date: 2 April 2013

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 (7)

• 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
• 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

   Recommendations

• Diffusion Processes, Jump Processes, and Stochastic Differential Equations 👍 👎
• Monte Carlo methods and models in finance and insurance. 👍 👎
• Title not available (Why is that?) 👍 👎
• Functionals of multidimensional diffusions with applications to finance 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Applied diffusion processes from engineering to finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4912976)