Random dynamical systems in finance

DOI10.1201/B14989MaRDI QIDQ2839192zbMATH OpenOpenAlexFDO

Authors Anatoliy Swishchuk, M. S. Islam

Publication date 4 July 2013

Full work available at URL https://doi.org/10.1201/b14989

zbMATH Keywords

delayeconomics and financefractionalgeometric Markov renewal processes (GMRP)interest rate theoryjumpsoptimal controloption pricing theoryrandom dynamical systemsrandom evolution

Mathematics Subject Classification ID

Random dynamical systems (37H99) Dynamical systems in optimization and economics (37N40) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(14)

• Identification of stochastically perturbed autonomous systems from temporal sequences of probability density functions
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• Solving the inverse Frobenius-Perron problem using stationary densities of dynamical systems with input perturbations
• Stochastic dynamics: Markov chains and random transformations
• Random dynamical systems. Theory and applications
• Optimal chaotic selectors
• RANDOM DYNAMICAL SYSTEMS IN ECONOMICS
• A new approach to identification of input-driven dynamical systems from probability densities
• scientific article; zbMATH DE number 1376674 (Why is no real title available?)
• scientific article; zbMATH DE number 1444753 (Why is no real title available?)
• Random-finite-valued dynamical systems: additive Markov approach
• On some random densities for random maps
• Iterated function systems whose attractors are Cantor sets

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