Semiclassical asymptotics of nonlinear Fokker-Plank equation for distributions of asset returns
نویسندگان
چکیده
منابع مشابه
Nonlinear Fokker–Planck Equation in the Model of Asset Returns
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 leadin...
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ژورنال
عنوان ژورنال: Computer Research and Modeling
سال: 2009
ISSN: 2076-7633,2077-6853
DOI: 10.20537/2076-7633-2009-1-1-41-49