Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Detalles Bibliográficos
Parent link:Symmetry, Integrability and Geometry: Methods and Applications (SIGMA): Scientific Journal
Vol. 4.— 2008.— [10 p.]
Autor principal: Shapovalov A. V. Aleksandr Vasilyevich
Otros Autores: Trifonov A. Yu. Andrey Yurievich, Masalova E. A.
Sumario: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
Lenguaje:inglés
Publicado: 2008
Materias:
электронный ресурс
труды учёных ТПУ
Fokker–Planck equation
semiclassical asymptotics
trajectory concentrated functions
the Cauchy problem
Acceso en línea:http://www.emis.de/journals/SIGMA/2008/038/sigma08-038.pdf
Formato: Electrónico Capítulo de libro
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=636508

Ejemplares similares

Ejemplares similares