Path probability of stochastic motion: A functional approach

Masayuki Hattori and Sumiyoshi Abe

Physica A: Statistical Mechanics and its Applications, 2016, vol. 451, issue C, 198-204

Abstract: The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a tube/band, the center of which is stipulated by a given path, is analytically evaluated in a way analogous to continuous measurements in quantum mechanics. Then, the formalism developed here is applied to the stochastic dynamics of stock price in finance.

Keywords: Stochastic processes; Path probability distribution functionals; Stock price (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:451:y:2016:i:c:p:198-204

DOI: 10.1016/j.physa.2016.01.053

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