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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Computer Science
2009-03-01
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| Series: | Компьютерные исследования и моделирование |
| Subjects: | |
| Online Access: | http://crm.ics.org.ru/uploads/kim1/crm09105.pdf |