Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Alexander Shapovalov, Andrey Trifonov and Elena Masalova

Papers from arXiv.org

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.

Date: 2008-04
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Published in SIGMA 4 (2008), 038, 10 pages

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0804.0900

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