Path probability of stochastic motion: A functional approach
Statistical Mechanics
2016-02-16 v1 General Finance
Quantum Physics
Abstract
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a tube/band, the center of which is stipulated by a given path, is analytically evaluated in a way analogous to continuous measurements in quantum mechanics. Then, the formalism developed here is applied to the stochastic dynamics of stock price in finance.
Cite
@article{arxiv.1602.04363,
title = {Path probability of stochastic motion: A functional approach},
author = {Masayuki Hattori and Sumiyoshi Abe},
journal= {arXiv preprint arXiv:1602.04363},
year = {2016}
}
Comments
19 pages, 2 figures