571 citations · 1.6k across the 8 of their papers we have counts for
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cond-mat.stat-mech2002★ 63 cited
Statistical Mechanics of Money, Income, and Wealth: A Short Survey
Adrian A. Dragulescu, Victor M. Yakovenko
In this short paper, we overview and extend the results of our papers cond-mat/0001432, cond-mat/0008305, and cond-mat/0103544, where we use an analogy with statistical physics to…
cond-mat.stat-mech2002★ 1 cited
Probability distribution of returns in the Heston model with stochastic volatility
Adrian A. Dragulescu, Victor M. Yakovenko
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-…