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періодичних видань НАН України
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
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- Symmetry, Integrability and Geometry: Methods and Applications (SIGMA)
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- Symmetry, Integrability and Geometry: Methods and Applications, 2008, том 4
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| dc.contributor.author | Shapovalov, A. | |
| dc.contributor.author | Trifonov, A. | |
| dc.contributor.author | Masalova, E. | |
| dc.date.accessioned | 2019-02-19T13:17:15Z | |
| dc.date.available | 2019-02-19T13:17:15Z | |
| dc.date.issued | 2008 | |
| dc.identifier.citation | 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. | uk_UA |
| dc.identifier.issn | 1815-0659 | |
| dc.identifier.other | 2000 Mathematics Subject Classification: 35K55; 62M10; 91B28; 91B84 | |
| dc.identifier.uri | http://dspace.nbuv.gov.ua/handle/123456789/149046 | |
| dc.description.abstract | 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 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. | uk_UA |
| dc.description.sponsorship | The work was supported by the President of the Russian Federation, Grant No SS-871.2008.2 and Grant of the RFBR No 07-01-08035. A. Shapovalov acknowledges the partial support from the International Mathematical Union for participation in the Seventh International Conference “Symmetry in Nonlinear Mathematical Physics”. | uk_UA |
| dc.language.iso | en | uk_UA |
| dc.publisher | Інститут математики НАН України | uk_UA |
| dc.relation.ispartof | Symmetry, Integrability and Geometry: Methods and Applications | |
| dc.title | Nonlinear Fokker-Planck Equation in the Model of Asset Returns | uk_UA |
| dc.type | Article | uk_UA |
| dc.status | published earlier | uk_UA |
