Nonlinear Fokker-Planck equation in the model of asset returns

Aleksandr Vasilievich Shapovalov, Andrey Trifonov, Elena Masalova

Результат исследований: Материалы для журналаСтатьярецензирование

1 Цитирования (Scopus)


The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of asset returns at financial markets. For special cases of such a Fokker-Planck equation we describe a construction of exact solution of the Cauchy problem. In the general case, we construct the leading term of the Cauchy problem solution asymptotic in a formal small parameter in semiclassical approximation following the complex WKB-Maslov method in the class of trajectory concentrated functions.

Язык оригиналаАнглийский
Номер статьи038
ЖурналSymmetry, Integrability and Geometry: Methods and Applications (SIGMA)
СостояниеОпубликовано - 6 апр 2008

ASJC Scopus subject areas

  • Analysis
  • Geometry and Topology
  • Mathematical Physics

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