Nonlinear Fokker-Planck Equation in the Model of Asset Returns

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dc.creatorShapovalov, Alexander
dc.creatorTrifonov, Andrey
dc.creatorMasalova, Elena
dc.date2008-04-06
dc.date.accessioned2026-07-07T12:10:30Z
dc.date.available2026-07-07T12:10:30Z
dc.descriptionThe 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.
dc.descriptionThis is a contribution to the Proc. of the Seventh International Conference ''Symmetry in Nonlinear Mathematical Physics'' (June 24-30, 2007, Kyiv, Ukraine), published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA/
dc.identifierhttps://arxiv.org/abs/0804.0900
dc.identifierhttp://arxiv.org/abs/0804.0900
dc.identifierSIGMA 4 (2008), 038, 10 pages
dc.identifierdoi:10.3842/SIGMA.2008.038
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209953
dc.subjectComputational Finance
dc.subjectMathematical Physics
dc.titleNonlinear Fokker-Planck Equation in the Model of Asset Returns
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