Markov processes, Hurst exponents, and nonlinear diffusion equations: With application to finance

Physica A: Statistical Mechanics and its Applications

Volumn 369, Issue 2, 2006, Pages 343-353

  Bassler, Kevin E ^a   Gunaratne, Gemunu H ^a,b   McCauley, Joseph L ^a,c  

^a University of Houston   (United States)

^b INSTITUTE OF FUNDAMENTAL STUDIES   (Sri Lanka)

^c NATIONAL UNIVERSITY OF IRELAND   (Ireland)

Author keywords

Autocorrelations; Fractional Brownian motion; Hurst exponent; Markov process; Nonlinear diffusion; Scaling; Stochastic calculus; Tsallis model

Indexed keywords

BROWNIAN MOVEMENT; CORRELATION METHODS; DIFFERENTIAL EQUATIONS; DIFFUSION; MARKOV PROCESSES; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; PROBLEM SOLVING;

AUTOCORRELATIONS; FRACTIONAL BROWNIAN MOTION; HURST EXPONENT; NONLINEAR DIFFUSION; SCALING; STOCHASTIC CALCULUS; TSALLIS MODELS;

NONLINEAR EQUATIONS;

EID: 33745699262     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.01.081     Document Type: Article

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