Markov analysis and Kramers-Moyal expansion of nonstationary stochastic processes with application to the fluctuations in the oil price

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 75, Issue 6, 2007, Pages

  Ghasemi, Fatemeh ^a   Sahimi, Muhammad ^b   Peinke, J ^c   Friedrich, R ^d   Jafari, G Reza ^e   Tabar, M Reza Rahimi ^c,f,g  

^a MAX PLANCK INSTITUT FÜR PHYSIK KOMPLEXER SYSTEME   (Germany)

^b University of Southern California ^*  (United States)

^c UNIVERSITY OF OLDENBURG   (Germany)

^d UNIVERSITY OF MÜNSTER   (Germany)

^e SHAHID BEHESHTI UNIVERSITY   (Iran)

^f SHARIF UNIVERSITY OF TECHNOLOGY   (Iran)

^g UNIVERSITÉ CÔTE D'AZUR   (France)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC ANALYSIS; NONLINEAR EQUATIONS; PETROLEUM INDUSTRY; PROBABILITY DENSITY FUNCTION; TIME DOMAIN ANALYSIS;

FOKKER-PLANCK EQUATION; KRAMERS-MOYAL EXPANSION; MARKOV ANALYSIS; NONSTATIONARY STOCHASTIC PROCESSES;

MARKOV PROCESSES;

EID: 34547337618     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.75.060102     Document Type: Article

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