Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
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Publication:950967
DOI10.1016/J.PHYSLETA.2006.04.094zbMath1236.60070OpenAlexW2152423626MaRDI QIDQ950967
Publication date: 29 October 2008
Published in: Physics Letters. A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physleta.2006.04.094
Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic analysis (60H99)
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Fluctuations-induced regime shifts in the endogenous credit system with time delay ⋮ The time delay restraining the herd behavior with Bayesian approach ⋮ Enhancing noise-induced switching times in systems with distributed delays ⋮ Portfolio theory of optimal isometric force production: variability predictions and nonequilibrium fluctuation-dissipation theorem ⋮ Kramers-Moyal expansion for stochastic differential equations with single and multiple delays: applications to financial physics and neurophysics ⋮ Stochastic systems with delay: perturbation theory for second order statistics ⋮ The risks and returns of stock investment in a financial market ⋮ Asset price dynamics in a chartist-fundamentalist model with time delays: a bifurcation analysis
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