Browsing UiS Brage by Author "Moxnes, John Fredrik"

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    • Generalizing the Black and Scholes Equation Assuming Differentiable Noise 

      Hausken, Kjell; Moxnes, John Fredrik (Peer reviewed; Journal article, 2024-10)
      This article develops probability equations for an asset value through time, assuming continuous correlated differentiable Gaussian distributed noise. Ito’s (1944) stochastic integral and a generalized Novikov’s (1919) ...

    • Introducing Randomness into First-Order and Second-Order Deterministic Differential Equations 

      Moxnes, John Fredrik; Hausken, Kjell (Peer reviewed; Journal article, 2010)
      We incorporate randomness into deterministic theories and compare analytically and numerically some well-known stochastic theories: the Liouville process, the Ornstein-Uhlenbeck process, and a process that is Gaussian and ...

    • Stochastic Theories and Deterministic Differential Equations 

      Moxnes, John Fredrik; Hausken, Kjell (Journal article; Peer reviewed, 2010-05)
      We discuss the concept of “hydrodynamic” stochastic theory, which is not based on the traditional Markovian concept. A Wigner function developed for friction is used for the study of operators in quantum physics, and for ...