This paper proposes a new minimum distance methodology for the estimation of ARFIMA processes with Gaussian and non-Gaussian errors. The main advantage of this method is that it allows for a computationally efficient estimation when the long-memory parameter is in the interval d∈(−12,12)....

The purpose of the study is to clarify a few possible causes for the delay in new investment projects. It is well known that anticipation of future economic environment and prices affects the current investment decisions of a firm. Gaussian processes are typically used to model returns or...

In this paper we introduce and analyze a class of diffusion type equations related to certain non-Markovian stochastic processes. We start from the forward drift equation which is made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian...

We address the question as to what extent individuals, when given information in marketing polls on the decisions made by the previous Nr individuals questioned, are likely to change their original choices. The processes can be formulated in terms of a Cost function equivalent to a Hamiltonian,...

An important class of random walks includes those in which the random increment at time step t depends on the complete history of the process. We consider a recently proposed discrete-time non-Markovian random walk process characterized by a memory parameter p. We numerically calculate the first...

The evolution of open systems, subject to both Hamiltonian and dissipative forces, is studied by writing the nm element of the time (t) dependent density matrix in the formρnm(t)=1A∑α=1Aγnα(t)γmα*(t).The so called “square-root factors”, the γ(t)'s, are non-square matrices and are...

The method of stochastic quantization for a scalar field theory is reviewed. A brief survey for the case of self-interacting scalar field, implementing the stochastic perturbation theory up to the one-loop level, is presented. Then, it is introduced a colored random noise in the Einstein's...

We consider the non-Markovian Langevin evolution of a dissipative dynamical system in quantum mechanics in the path integral formalism. After discussing the role of the frequency cutoff for the interaction of the system with the heat bath and the kernel and noise correlator that follow from the...

In this paper we review some applications of the path integral methodology of quantum mechanics to financial modeling and options pricing. A path integral is defined as a limit of the sequence of finite-dimensional integrals, in a much the same way as the Riemannian integral is defined as a...