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- W2483674683 abstract "Abstract This chapter discusses the Chapman-Kolmogorov equation, but limits the scope to Markov processes. It is shown here how it can be reduced to the Fokker-Planck partial differential equation, using the concept of n-th order diffusion constants. These diffusion constants find applications, for example, when computing the evolution of the average of a random variable, and it is illustrated to obtain the average price of a Brownian asset as a function of time. Finally, the chapter introduces a more general Langevin equation than the one previously discussed, in order to study functions of random variables. It should be noted that the chapter forms the basis of the discussion on options and more realistic models of asset fluctuations, with an approach which essentially follows that by Lax et al. (2006)." @default.
- W2483674683 created "2016-08-23" @default.
- W2483674683 creator A5023359121 @default.
- W2483674683 creator A5084496181 @default.
- W2483674683 creator A5086414159 @default.
- W2483674683 date "2013-09-01" @default.
- W2483674683 modified "2023-09-26" @default.
- W2483674683 title "7 Generalized diffusion processes and the Fokker‐Planck equation" @default.
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