Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Bibliographic Details
Parent link:	Symmetry, Integrability and Geometry: Methods and Applications (SIGMA): Scientific Journal Vol. 4.— 2008.— [10 p.]
Main Author:	Shapovalov A. V. Aleksandr Vasilyevich
Other Authors:	Trifonov A. Yu. Andrey Yurievich, Masalova E. A.
Summary:	Title screen 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 Режим доступа: по договору с организацией-держателем ресурса
Published:	2008
Subjects:	электронный ресурс труды учёных ТПУ Fokker–Planck equation semiclassical asymptotics trajectory concentrated functions the Cauchy problem
Online Access:	http://www.emis.de/journals/SIGMA/2008/038/sigma08-038.pdf
Format:	Electronic Book Chapter
KOHA link:	https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=636508

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