<p>Semiclassical asymptotics of nonlinear Fokker–Plank equation  for distributions of asset returns</p>

Trifonov A.Y.; Masalova E.A.; Shapovalov A.V.

Issue 1, 2009 Vol. 1

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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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List of references:

Basel Committee on Banking Supervision. — Basel: Bank for internal settlements, 2001. — 102 p. — Consultative Document. The Internal Ratings-Based Approach.
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D. Sornette. Fokker–Planck equation of distributions of financial returns and power laws // Physica A. — 2001. — V. 290. — P. 211–217. — DOI: 10.1016/S0378-4371(00)00571-9. — MathSciNet: MR1810263. — ads: 2001PhyA..290..211S.
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А. В. Шаповалов, А. Ю. Трифонов, Е. А. Масалова. Распределение доходностей финансовых активов и нелинейное уравнение Фоккера–Планка–Колмогорова / Математика. Компьютер. Образование. — Сб. науч. тр. — М.–Ижевск: НИЦ «Регулярная и хаотическая динамика», 2007. — Т. 1. — С. 186–193. — Под ред. Г. Ю. Ризниченко.
D. Frank. Nonlinear Fokker–Plank equations. Fundamentals and applications. — N. Y., London: Springer-Verlag, 2005. — 407 p. — MathSciNet: MR2118870.
A. V. Shapovalov, R. O. Rezaev, A. Yu. Trifonov. Symmetry operators for the Fokker–Plank–Kolmogorov equation with nonlocal quadratic nonlinearity // Symmetry, Integrability and Geometry: Methods and Applications (SIGMA). — 2007. — V. 7. — 16 p. — 005. — MathSciNet: MR2280331.
Г. Л. Бухбиндер, К. М. Чистилин. Стохастическая динамика котировок акций РАО ЕЭС // Мат. мод. — 2005. — Т. 17, № 2. — С. 119–125.

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