Concepedia

Time-changed Diffusions

Time-Changed Diffusions is a diffusion process in which the standard temporal evolution is altered through a stochastic time change, typically governed by a random clock or an increasing Lévy process, thereby generalizing classical diffusion dynamics to capture anomalous or irregular time scaling observed in complex systems.

22

Publications

1.5K

Citations

44

Authors

38

Institutions

Publications per year

2017–2026

7

Parents

Publications

22

Time-changed Lévy processes and option pricing

Peter Carr, Liuren Wu · Journal of Financial Economics · 2003 · 720 citations

, , +14

TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

Rafael Mendoza‐Arriaga, Peter Carr, Vadim Linetsky · Mathematical Finance · 2010 · 109 citations · Full text

, , +17

TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

Lingfei Li, Vadim Linetsky · Mathematical Finance · 2012 · 85 citations

, , +16

Modeling perceptual discrimination in dynamic noise: Time-changed diffusion and release from inhibition

Philip L. Smith, Roger Ratcliff, David K. Sewell · Journal of Mathematical Psychology · 2013 · 57 citations

, , +16

A general framework for time-changed Markov processes and applications

Zhenyu Cui, Justin Kirkby, Duy Nguyen · European Journal of Operational Research · 2018 · 55 citations

, , +12

1–5 of 22

Authors

44

  1. JY
    Jiangang Ying

    Fudan University, China

    2 publications · 39 citations

    2

    h-index

  2. VL
    Vadim Linetsky

    Northwestern University, United States

    2 publications · 194 citations

    2

    h-index

  3. MM
    Mark M. Meerschaert

    Michigan State University, United States

    2 publications · 28 citations

    2

    h-index

  4. KK
    Kei Kobayashi

    Tokyo Institute of Technology, Japan

    2 publications · 93 citations

    2

    h-index

  5. PC
    Peter Carr

    New York University, United States

    2 publications · 829 citations

    2

    h-index

1–5 of 44

Institutions

38

  1. Michigan State University

    East Lansing, United States

    2 h-index

    2 publications

    28 citations

  2. Fudan University

    Shanghai, China

    2 h-index

    5 publications

    104 citations

  3. New York University

    New York, United States

    2 h-index

    2 publications

    829 citations

  4. University of Oslo

    Oslo, Norway

    1 h-index

    1 publications

    19 citations

  5. The University of Melbourne

    Melbourne, Australia

    1 h-index

    2 publications

    114 citations

  6. The Ohio State University

    Columbus, United States

    1 h-index

    1 publications

    57 citations

  7. Humboldt-Universität zu Berlin

    Berlin, Germany

    1 h-index

    1 publications

    45 citations

  8. Goethe University Frankfurt

    Frankfurt am Main, Germany

    1 h-index

    1 publications

    10 citations

1–8 of 38

Venues

  1. Journal of Theoretical Probability

    2 publications · 72 citations

    2

    h-index

  2. The Annals of Probability

    2 publications · 39 citations

    2

    h-index

  3. Mathematical Finance

    2 publications · 194 citations

    2

    h-index

  4. 1

    h-index

  5. European Journal of Operational Research

    1 publications · 55 citations

    1

    h-index

1–5