The non-markovian property of \(q\)-Gaussian process

DOI10.1016/J.CAMWA.2019.10.006zbMath1443.82012OpenAlexW2982168996MaRDI QIDQ2004643

Yanyan Li

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.10.006

zbMATH Keywords

self-similaritymartingaleTsallis entropynon-Markovian\(q\)-Gaussian process

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Cites Work

• Unnamed Item
• Exploring the dynamics of financial markets: from stock prices to strategy returns
• Scale invariance and related properties of \(q\)-Gaussian systems
• On a \(q\) -central limit theorem consistent with nonextensive statistical mechanics
• Possible generalization of Boltzmann-Gibbs statistics.
• Optimal investment problem under non-extensive statistical mechanics
• Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
• A theory of non‐Gaussian option pricing
• Anomalous diffusion in linear shear flows

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