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Computer Research and Modeling, 2009, Volume 1, Issue 1, Pages 41–49
DOI: https://doi.org/10.20537/2076-7633-2009-1-1-41-49 (Mi crm620) 		 
This article is cited in 1 scientific paper (total in 1 paper)

MATHEMATICAL MODELING AND NUMERICAL SIMULATION

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

A. V. Shapovalovab, A. Yu. Trifonova, E. A. Masalovaa

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
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DOI: https://doi.org/10.20537/2076-7633-2009-1-1-41-49
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
Document Type: Article
Language: Russian
Citation: 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, 1:1 (2009), 41–49
Citation in format AMSBIB
\Bibitem{ShaTriMas09}
\by A.~V.~Shapovalov, A.~Yu.~Trifonov, E.~A.~Masalova
\paper Semiclassical asymptotics of nonlinear Fokker--Plank equation for distributions of asset returns
\jour Computer Research and Modeling
\yr 2009
\vol 1
\issue 1
\pages 41--49
\mathnet{http://mi.mathnet.ru/crm620}
\crossref{https://doi.org/10.20537/2076-7633-2009-1-1-41-49}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Computer Research and Modeling
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