Markov processes, Hurst exponents, and nonlinear diffusion equations: With application to finance-Reference-Cited by-同舟云学术

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Markov processes, Hurst exponents, and nonlinear diffusion equations: With application to finance

Published:2006-09 Issue:2 Volume:369 Page:343-353
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bassler Kevin E.,Gunaratne Gemunu H.,McCauley Joseph L.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference35 articles.

1. Fractional Brownian Motions, Fractional Noises and Applications

2. R.L. Stratonovich, Topics in the Theory of Random Noise (R. A. Silverman, Trans.), Gordon and Breach, New York, 1963.

3. Selected Papers on Noise and Stochastic Processes;Wax,1954

4. Stochastic Differential Equations;Arnold,1992

5. Brownian Motion and Martingales in Analysis;Durrett,1984

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