Semiclassical asymptotics of nonlinear Fokker-Plank equation for distributions of asset returns
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...
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| Autores principales: | , , |
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| Formato: | Artigo |
| Lenguaje: | Russo |
| Publicado: |
Institute of Computer Science
2009-03-01
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| Colección: | Компьютерные исследования и моделирование |
| Materias: | |
| Acceso en línea: | http://crm.ics.org.ru/uploads/kim1/crm09105.pdf |
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