A. V. Shapovalov, A. Yu. Trifonov, E. A. Masalova, “Semiclassical asymptotics of nonlinear Fokker–Plank equation for distributions of asset returns”, Computer Research and Modeling, 2009, Volume 1, Issue 1,Pages <nobr>41

This article is cited in 1 paper

MATHEMATICAL MODELING AND NUMERICAL SIMULATION

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

A. V. Shapovalov^ab, A. Yu. Trifonov^a, E. A. Masalova^a

^a Tomsk Polytechnic University, Faculty of Natural Sciences and Mathematics, Lenin av. 30, 634050, Russia
^b Tomsk State University, Lenin av. 36, Tomsk, 634050, Russia

Abstract: 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.

Received: 11.02.2008

DOI: 10.20537/2076-7633-2009-1-1-41-49