Exact Solution of Free Entropy for Matrix-Valued Geometric Brownian Motion with Non-Commutative Matrices via Replica Method-Reference-Cited by-同舟云学术

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Exact Solution of Free Entropy for Matrix-Valued Geometric Brownian Motion with Non-Commutative Matrices via Replica Method

Published:2023-11-15 Issue:11 Volume:92 Page:
ISSN:0031-9015
Container-title:Journal of the Physical Society of Japan
language:en
Short-container-title:J. Phys. Soc. Jpn.

Author:

Okuyama Manaka¹^ORCID,Ohzeki Masayuki¹²³⁴^ORCID

Affiliation:

1. Graduate School of Information Sciences, Tohoku University, Sendai 980-8579, Japan

2. International Research Frontier Initiative, Tokyo Institute of Technology, Minato, Tokyo 105-0023, Japan

3. Department of Physics, Tokyo Institute of Technology, Meguro, Tokyo 152-8551, Japan

4. Sigma-i Co., Ltd., Minato, Tokyo 108-0075, Japan

Funder

Japan Society for the Promotion of Science

Japan Science and Technology Agency

Publisher

Physical Society of Japan

Subject

General Physics and Astronomy

Link

https://journals.jps.jp/doi/pdf/10.7566/JPSJ.92.114001

Reference22 articles.

1. Estimation of the coefficients of a diffusion from discrete observations

2. Optimal time to invest when the price processes are geometric Brownian motions

3. Brownian Motion and Stochastic Calculus

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