Path probability of stochastic motion: a functional approach

DOI10.1016/J.PHYSA.2016.01.053zbMath1400.60047arXiv1602.04363OpenAlexW2265206876MaRDI QIDQ1619386

Masayuki Hattori, Sumiyoshi Abe

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.04363

zbMATH Keywords

stochastic processesstock pricepath probability distribution functionals

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17) Derivative securities (option pricing, hedging, etc.) (91G20) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

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Cites Work

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• Path probability distribution of stochastic motion of non dissipative systems: a classical analog of Feynman factor of path integral
• The Fokker-Planck equation. Methods of solution and applications.
• Erratum: Continuous quantum measurements: restricted path integrals and master equations
• Stochastic Processes for Physicists
• Fluctuations and Irreversible Processes

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