The Riccati System and a Diffusion-Type Equation

Autor:	Erwin Suazo, Sergei K. Suslov, José M. Vega-Guzmán
Jazyk:	angličtina
Rok vydání:	2014
Předmět:	diffusion-type equations Green’s function fundamental solution autonomous and nonautonomous Burgers equations Fokker-Planck equation Black-Scholes equation the Hull-White model Riccati equation and Riccati-type system Ermakov equation and Ermakov-type system Mathematics QA1-939
Zdroj:	Mathematics, Vol 2, Iss 2, Pp 96-118 (2014)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math2020096
Popis:	We discuss a method of constructing solutions of the initial value problem for diffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered. Examples include, but are not limited to the Fokker-Planck equation in physics, the Black-Scholes equation and the Hull-White model in finance.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/f52ad9bfd4e84625918b8f5d21237bcd Zobrazit plný text záznamu View record in DOAJ