Stochastic Processes

DOI10.1007/978-3-319-00327-6zbMath1295.60004OpenAlexW4238194478MaRDI QIDQ4921547

Jörg Baschnagel, Wolfgang Paul

Publication date: 10 May 2013

Full work available at URL: https://doi.org/10.1007/978-3-319-00327-6

zbMATH Keywords

Brownian motionstochastic processesBlack-Scholes modelstable distributionsfinancial modellingFokker-Plank equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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