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 co...
Gespeichert in:
| Veröffentlicht in: | Symmetry, Integrability and Geometry: Methods and Applications |
|---|---|
| Datum: | 2008 |
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2008
|
| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/149046 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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. |
Institution
Digital Library of Periodicals of National Academy of Sciences of UkraineSchreiben Sie den ersten Kommentar!