Nonlinear Fokker-Planck Equation in the Model of Asset Returns
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
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| Creator |
Shapovalov, A.
Trifonov, A. Masalova, E. |
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| Description |
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.
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| Date |
2019-02-19T13:17:15Z
2019-02-19T13:17:15Z 2008 |
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| Type |
Article
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| Identifier |
Nonlinear Fokker-Planck Equation in the Model of Asset Returns / A. Shapovalov, A. Trifonov, E. Masalova // Symmetry, Integrability and Geometry: Methods and Applications. — 2008. — Т. 4. — Бібліогр.: 16 назв. — англ.
1815-0659 2000 Mathematics Subject Classification: 35K55; 62M10; 91B28; 91B84 http://dspace.nbuv.gov.ua/handle/123456789/149046 |
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| Language |
en
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| Relation |
Symmetry, Integrability and Geometry: Methods and Applications
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| Publisher |
Інститут математики НАН України
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