Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory
Year of publication: |
2007-02-22
|
---|---|
Authors: | McCauley, Joseph L. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Stochastic process | martingale | Ito process | stochastic differential eqn. | memory | nonMarkov process | 2 backward time diffusion | Fokker-Planck | Kolmogorov’s partial differential eqns. | Chapman-Kolmogorov eqn. | Black- Scholes eqn |
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