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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
National Academy of Science of Ukraine
2008-04-01
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| Series: | Symmetry, Integrability and Geometry: Methods and Applications |
| Subjects: | |
| Online Access: | http://www.emis.de/journals/SIGMA/2008/038/ |