Nonlinear Fokker-Planck Equation in the Model of Asset Returns; Symmetry, Integrability and Geometry: Methods and Applications (SIGMA); Vol. 4
| Parent link: | Symmetry, Integrability and Geometry: Methods and Applications (SIGMA): Scientific Journal Vol. 4.— 2008.— [10 p.] |
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| Prif Awdur: | |
| Awduron Eraill: | , |
| Crynodeb: | 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 |
| Iaith: | Saesneg |
| Cyhoeddwyd: |
2008
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| Pynciau: | |
| Mynediad Ar-lein: | http://www.emis.de/journals/SIGMA/2008/038/sigma08-038.pdf |
| Fformat: | Electronig Pennod Llyfr |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=636508 |
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| 200 | 1 | |a Nonlinear Fokker-Planck Equation in the Model of Asset Returns |f A. V. Shapovalov, A. Yu. Trifonov, E. A. Masalova | |
| 203 | |a Text |c electronic | ||
| 300 | |a Title screen | ||
| 330 | |a 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 | ||
| 333 | |a Режим доступа: по договору с организацией-держателем ресурса | ||
| 461 | |t Symmetry, Integrability and Geometry: Methods and Applications (SIGMA) |o Scientific Journal | ||
| 463 | |t Vol. 4 |v [10 p.] |d 2008 | ||
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a Fokker–Planck equation | |
| 610 | 1 | |a semiclassical asymptotics | |
| 610 | 1 | |a trajectory concentrated functions | |
| 610 | 1 | |a the Cauchy problem | |
| 700 | 1 | |a Shapovalov |b A. V. |c mathematician |c Professor of Tomsk Polytechnic University, Doctor of physical and mathematical sciences |f 1949- |g Aleksandr Vasilyevich |3 (RuTPU)RU\TPU\pers\31734 | |
| 701 | 1 | |a Trifonov |b A. Yu. |c physicist, mathematician |c Professor of Tomsk Polytechnic University, Doctor of physical and mathematical sciences |f 1963- |g Andrey Yurievich |3 (RuTPU)RU\TPU\pers\30754 | |
| 701 | 1 | |a Masalova |b E. A. | |
| 801 | 2 | |a RU |b 63413507 |c 20150321 |g RCR | |
| 856 | 4 | |u http://www.emis.de/journals/SIGMA/2008/038/sigma08-038.pdf | |
| 942 | |c CF | ||