104 citations · 610 across the 32 of their papers we have counts for
6 papers · 1 filter
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
Jean-Philippe Aguilar, Cyril Coste, Jan Korbel
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidl…
Least informative distributions in Maximum q-log-likelihood estimation
Mehmet Niyazi Cankaya, Jan Korbel
We use the Maximum -log-likelihood estimation for Least informative distributions (LID) in order to estimate the parameters in probability density functions (PDFs) efficiently a…
On the uniqueness theorem for pseudo-additive entropies
Petr Jizba, Jan Korbel
We discuss the idea that the Tsallis-type (q-additive) entropic chain rule allows for a wider class of entropic functionals than previously thought. In particular, we point out tha…
Transitions between superstatistical regimes: validity, breakdown and applications
Petr Jizba, Jan Korbel, Hynek Lavička +3
Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "cano…
Rescaling the nonadditivity parameter in Tsallis thermostatistics
Jan Korbel
The paper introduces nonadditivity parameter transformation group induced by Tsallis entropy. We discuss simple physical applications of a system in the contact with finite heat ba…
Transfer entropy between communities in complex networks
Jan Korbel, Xiongfei Jiang, Bo Zheng
With the help of transfer entropy, we analyze information flows between communities of complex networks. We show that the transfer entropy provides a coherent description of intera…