Related papers: Markov properties of high frequency exchange rate …
In the renewal processes, if the waiting time probability density function is a tempered power-law distribution, then the process displays a transition dynamics; and the transition time depends on the parameter $\lambda$ of the exponential…
The North Atlantic Oscillation (NAO) monthly index is studied from 1825 till 2002 in order to identify the scaling ranges of its fluctuations upon different delay times and to find out whether or not it can be regarded as a Markov process.…
For stochastic systems with discrete time delay, the Fokker-Planck equation (FPE) of the one-time probability density function (PDF) does not provide a complete, self-contained probabilistic description. It explicitly involves the two-time…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and play an important role in quantifying propagation and evolution of uncertainty. Although Fokker-Planck equations can be written…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
The dynamics of polymers in a random smooth flow is investigated in the framework of the Hookean dumbbell model. The analytical expression of the time-dependent probability density function of polymer elongation is derived explicitly for a…
The time-dependent flux over the fission barrier of an excited nucleus under the influence of dissipation is investigated. Characteristic features of the evolution of the amplitude of the probability distribution and the velocity profile at…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
Marcus stochastic delay differential equations (SDDEs) are often used to model stochastic dynamical systems with memory in science and engineering. Since no infinitesimal generators exist for Marcus SDDEs due to the non-Markovian property,…
We analyze the dynamics of particles in two dimensions with constant speed and a stochastic switching angle dynamics defined by a correlated dichotomous Markov process (telegraph noise) plus Gaussian white noise. We study various cases of…
The temporal Fokker-Plank equation [{\it J. Stat. Phys.}, {\bf 3/4}, 527 (2003)] or propagation-dispersion equation was derived to describe diffusive processes with temporal dispersion rather than spatial dispersion as in classical…
We introduce a new approach to quantize the Euler scheme of an $\mathbb{R}^d$-valued diffusion process. This method is based on a Markovian and componentwise product quantization and allows us, from a numerical point of view, to speak of…
Statistical properties of interbeat intervals cascade are evaluated by considering the joint probability distribution $P(\Delta x_2,\tau_2;\Delta x_1,\tau_1)$ for two interbeat increments $\Delta x_1$ and $\Delta x_2$ of different time…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
The purpose of this comment is to correct mistaken assumptions and claims made in the paper Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations by T. D. Frank. Our comment centers on the claims…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease)…
We consider a continuous random walk model for describing normal as well as anomalous diffusion of particles subjected to an external force when these particles diffuse in a uniformly expanding (or contracting) medium. A general equation…
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a…