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Conference publications

Semiclassical Approximation for the Nonlinear Fokker-Planck Equation with Quadratic Diffusion in Asset Return Models

Shapovalov A. V., Trifonov A. Yu., Masalova E. A.

"Математика. Компьютер. Образование". Cб. трудов XV международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2008. Vol. 1, 302pp. Pp. 181-189. (accepted)

A construction of asymptotical solutions in the semiclassical approximation is considered for the nonlinear Fokker-Planck equation with the diffusion coefficient quadratic in space variable, linear drift coefficient and nonlocal nonlinearity in the context of asset return models.



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