Random time-dependent Brownian motion a new approach to fractals of order \(n\)

DOI10.1016/S0960-0779(02)00018-8zbMath0996.82045MaRDI QIDQ1610463

Guy Jumaric

Publication date: 19 August 2002

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

zbMATH Keywords

mathematical financeBlack-Scholes equationBrownian motionsItô's lemma

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fractals (28A80)

Cites Work

• The Fokker-Planck equation. Methods of solution and applications
• Maximum entropy, information without probability and complex fractals. Classical and quantum approach
• Fractional master equation: Non-standard analysis and Liouville-Riemann derivative
• Fractional Brownian Motions, Fractional Noises and Applications
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