Nonlinear Fokker-Planck Equation in the Model of Asset Returns

• Published in: Symmetry, Integrability and Geometry: Methods and Applications
• Date: 2008
• Main Authors: Shapovalov, A., Trifonov, A., Masalova, E.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2008
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/149046
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: 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.

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 co...