Non-ideal Brownian motion, generalized Langevin equation and its application to the security market

DOI10.1007/BF00868082zbMath1153.91570OpenAlexW2078864165MaRDI QIDQ1000401

Masafumi Takahashi

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00868082

zbMATH Keywords

Fourier-Laplace transformmemorygeneralized Langevin equationnon-ideal Brownian motiontime dependent nonlinear differential equation

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (1)

Interest rate modeling with generalized Langevin equations

Cites Work

• An extensive analysis on the Japanese markets via S. Taylor's model
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