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Causality in financial mathematics |
Andrzej Karpio |
Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland |
Abstract |
Methods of describing physical processes which use Green functions in natural way lead to the causality. It occurs that similiar approach can be applied to time dependence of money because in financial mathematics accumulation of capital can be treated as a solution of the first order differential equation. Amost always the time denpendence of money is not continuous, so equations must be solved in the space of distributions. It is only one step towards Green functions and it is done in this paper. It is shown that retarted and advanced functions appear in the cosiderations. Their interpretations in terms of debit balance and deposit are given. Starting from simple examples author goes to more complicated cases showing benefits of presented formalism to financial mathematics. In the final considerations some remarks on the application of defference are done. |
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Presentation: Oral at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Andrzej KarpioSee On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych" Submitted: 2010-10-11 22:59 Revised: 2010-10-11 23:01 |