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Conference publicationsSemiclassical Approximation for the Nonlinear Fokker-Planck Equation with Quadratic Diffusion in Asset Return Models"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. |
