Ito Processes with Finitely Many States of Memory
Year of publication: |
2007-11-16
|
---|---|
Authors: | McCauley, Joseph L. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Ito process | martingale | stochastic differential eqn. | Langevin eqn. | memory | nonMarkov process | Fokker-Planck eqn. | Kolmogorov’s backward time eqn. | Chapman-Kolmogorov eqn. | Black-Scholes eqn |
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