Path probability of stochastic motion: A functional approach

Masayuki Hattori and Sumiyoshi Abe

Papers from arXiv.org

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.

Date: 2016-02
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Published in Physica A 451 (2016) 198-204

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1602.04363

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