Short derivation of Feynman Lagrangian for general diffusion processes

DOI10.1088/0305-4470/13/2/013MaRDI QIDQ3854420zbMATH OpenOpenAlexFDO

Authors

Publication date 1980

Published in Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/0305-4470/13/2/013

zbMATH Keywords

Feynman Lagrangian for general diffusion processes

Mathematics Subject Classification ID

Stochastic integrals (60H05) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30)

Cited in

(5)

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• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
• Large deviations at level 2.5 and for trajectories observables of diffusion processes: the missing parts with respect to their random-walks counterparts
• Data mining and knowledge discovery via statistical mechanics in nonlinear stochastic systems

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