Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case
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Publication:718268
DOI10.1016/j.cnsns.2009.06.010zbMath1221.60129MaRDI QIDQ718268
Rene L. Schilling, Enrico Scalas, Guido Germano, Mauro Politi
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
Monte Carlo; stochastic integrals; probabilistic simulation; stochastic model; continuous-time random walk; econophysics; probabilistic model; stochastic theory; stochastic jump process
65C05: Monte Carlo methods
60H05: Stochastic integrals
60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)
60K05: Renewal theory
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