Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case

DOI10.1016/J.CNSNS.2009.06.010zbMATH Open1221.60129OpenAlexW2060651286MaRDI QIDQ718268FDOQ718268

Authors: Guido Germano, Mauro Politi, Enrico Scalas, R. L. Schilling 

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2009.06.010

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zbMATH Keywords

Monte Carloeconophysicscontinuous-time random walkprobabilistic modelstochastic integralsstochastic modelstochastic theoryprobabilistic simulationstochastic jump process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic integrals (60H05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)

Cites Work

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• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• Option pricing when underlying stock returns are discontinuous
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
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• Random walks on lattices. II
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• Semi-Markov Risk Models for Finance, Insurance and Reliability

Cited In (6)

• Method of calculating densities for isotropic ballistic Lévy walks
• Quenched trap model for Lévy flights
• Random numbers from the tails of probability distributions using the transformation method
• The Kakutani–Hellinger affinity of processes of Itô processes driven by Poisson random measures
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
• Asymptotic properties and numerical simulation of multidimensional Lévy walks

Uses Software

• mlrnd

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