Nonlinear Fokker-Planck equation in the model of asset returns

Результат исследований: Материалы для журналаСтатья

1 цитирование (Scopus)

Выдержка

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)
Том4
DOI
СостояниеОпубликовано - 6 апр 2008

Отпечаток

Nonlinear Fokker-Planck Equations
Fokker-Planck Equation
Cauchy Problem
Semiclassical Approximation
Asymptotic Solution
Term
Financial Markets
Small Parameter
Diffusion Coefficient
Exact Solution
Nonlinearity
Trajectory
Coefficient
Model
Class
Framework

ASJC Scopus subject areas

  • Analysis
  • Geometry and Topology
  • Mathematical Physics

Цитировать

Nonlinear Fokker-Planck equation in the model of asset returns. / Shapovalov, Aleksandr Vasilievich; Trifonov, Andrey; Masalova, Elena.

В: Symmetry, Integrability and Geometry: Methods and Applications (SIGMA), Том 4, 038, 06.04.2008.

Результат исследований: Материалы для журналаСтатья

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