Semiclassical asymptotics of nonlinear Fokker–Plank equation for distributions of asset returns

Trifonov A.Y., Masalova E.A., Shapovalov A.V.
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The semiclassical approximation method is applied for solution construction of the Fokker–Planck equation with quadratic nonlocal nonlinearity and various coefficients in models of asset returns estimation. Analitical expressions determining nonlinear evolution operator are obtained in semiclasical approximation.

Keywords: Fokker–Plank equation, semiclassical approximation, economics
Citation in English: Trifonov A.Y., Masalova E.A., Shapovalov A.V. Semiclassical asymptotics of nonlinear Fokker–Plank equation for distributions of asset returns // Computer Research and Modeling, 2009, vol. 1, no. 1, pp. 41-49
Citation in English: Trifonov A.Y., Masalova E.A., Shapovalov A.V. Semiclassical asymptotics of nonlinear Fokker–Plank equation for distributions of asset returns // Computer Research and Modeling, 2009, vol. 1, no. 1, pp. 41-49
DOI: 10.20537/2076-7633-2009-1-1-41-49
URL: http://crm-en.ics.org.ru/journal/article/1573/
Creative Commons License This work is licensed under a Creative Commons Attribution-NoDerivs 3.0 Unported License.
According to Crossref, this article is cited by:
  • Roman Olegovich Rezaev, Andrey Yur’evich Trifonov, Aleksandr Vasilievich Shapovalov. The Einstein-Ehrenfest system of (0, M)-type and asymptotical solutions of the multidimensional nonlinear Fokker-Planck-Kolmogorov equation. // Computer Research and Modeling. — 2010. — V. 2, no. 2. — P. 151. DOI: 10.20537/2076-7633-2010-2-2-151-160
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