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- W2486544978 endingPage "45" @default.
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- W2486544978 abstract "Abstract This chapter examines the statistical dynamics associated with the random motion of the change of the price of an asset. If the price of an asset is assumed to be analogous to the position of a particle, it could be imagined that some kind of Newtonian dynamics could apply to this system. A better analogy, however, would be with the random or stochastic motion of a Brownian particle, since the change of the price of an asset is a stochastic or random process. It can be seen here that the process involves a hierarchy of equations that are generally intractable. However, invoking the particular assumption that the process is Markovian, i.e. that it has a very short-term memory, it is possible to reduce this hierarchy down to a simple closed form, represented by the Chapman-Kolmogorov integral equation." @default.
- W2486544978 created "2016-08-23" @default.
- W2486544978 creator A5023359121 @default.
- W2486544978 creator A5084496181 @default.
- W2486544978 creator A5086414159 @default.
- W2486544978 date "2013-09-01" @default.
- W2486544978 modified "2023-09-26" @default.
- W2486544978 title "4 Time dependent processes and the Chapman‐Kolmogorov equation" @default.
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