The Riccati system and a diffusion-type equation (Q401969): Difference between revisions

Summary: 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.

0 references

zbMATH Keywords

autonomous and nonautonomous Burgers equations

0 references

Black-Scholes equation

0 references

Hull-White model

0 references

Riccati equation and Riccati-type system

0 references

Ermakov equation and Ermakov-type system

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

The Riccati differential equation and a diffusion-type equation

0 references

Propagator of a charged particle with a spin in uniform magnetic and perpendicular electric fields

0 references

Models of damped oscillators in quantum mechanics

0 references

Quantum integrals of motion for variable quadratic Hamiltonians

0 references

Time reversal for modified oscillators

0 references

The degenerate parametric oscillator and Ince's equation

0 references

Solution of the Cauchy problem for a time-dependent Schrödinger equation

0 references

Dynamical invariants for variable quadratic Hamiltonians

0 references

On integrability of nonautonomous nonlinear Schrödinger equations

0 references

Symmetry classes of variable coefficient nonlinear Schrodinger equations

0 references

Perturbation algebra of an elliptic operator

0 references

Q5520962

0 references

Fundamental solutions, transition densities and the integration of Lie symmetries

0 references

Q4002114

0 references

Suppression of unbounded gradients in an SDE associated with the Burgers equation

0 references

Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications

0 references

The Pricing of Options and Corporate Liabilities

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Option pricing when underlying stock returns are discontinuous

0 references

The Black-Scholes Equation and Certain Quantum Hamiltonians

0 references

Q5846799

0 references

THE NONLINEAR SUPERPOSITION PRINCIPLE AND THE WEI-NORMAN METHOD

0 references

Lie theory and separation of variables. 5. The equations iUt + Uxx = 0 and iUt + Uxx −c/x2 U = 0

0 references

Representations of the Schrödinger group and matrix orthogonal polynomials

0 references

On the problem of electromagnetic-field quantization

0 references

On a quasi-linear parabolic equation occurring in aerodynamics

0 references

The partial differential equation ut + uux = μxx

0 references

A graphical approach to a model of a neuronal tree with a variable diameter

0 references

The Fokker-Planck equation. Methods of solution and applications.

0 references

Computation of Fokker-Planck equation

0 references

Q3997710

0 references

Identifiers

zbMATH Open document ID

1297.35105

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:401969

@@ Property / DOI @@
-.3390/math2020096
@@ Property / DOI: 10.3390/math2020096 / rank @@
-Normal rank
@@ Property / review text @@
+Summary: 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.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+K15
@@ Property / Mathematics Subject Classification ID: 35K15 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+A08
@@ Property / Mathematics Subject Classification ID: 35A08 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q84
@@ Property / Mathematics Subject Classification ID: 35Q84 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q91
@@ Property / Mathematics Subject Classification ID: 35Q91 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C15
@@ Property / Mathematics Subject Classification ID: 35C15 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6334888
@@ Property / zbMATH DE Number: 6334888 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+autonomous and nonautonomous Burgers equations
+Normal rank
@@ Property / zbMATH Keywords @@
+Black-Scholes equation
@@ Property / zbMATH Keywords: Black-Scholes equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hull-White model
@@ Property / zbMATH Keywords: Hull-White model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Riccati equation and Riccati-type system
@@ Property / zbMATH Keywords: Riccati equation and Riccati-type system / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Ermakov equation and Ermakov-type system
@@ Property / zbMATH Keywords: Ermakov equation and Ermakov-type system / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2112658592
@@ Property / OpenAlex ID: W2112658592 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4630
@@ Property / arXiv ID: 1102.4630 / rank @@
+Normal rank
@@ Property / cites work @@
+The Riccati differential equation and a diffusion-type equation
+Normal rank
@@ Property / cites work @@
+Propagator of a charged particle with a spin in uniform magnetic and perpendicular electric fields
+Normal rank
@@ Property / cites work @@
+Models of damped oscillators in quantum mechanics
@@ Property / cites work: Models of damped oscillators in quantum mechanics / rank @@
+Normal rank
@@ Property / cites work @@
+Quantum integrals of motion for variable quadratic Hamiltonians
+Normal rank
@@ Property / cites work @@
+Time reversal for modified oscillators
@@ Property / cites work: Time reversal for modified oscillators / rank @@
+Normal rank
@@ Property / cites work @@
+The degenerate parametric oscillator and Ince's equation
+Normal rank
@@ Property / cites work @@
+Solution of the Cauchy problem for a time-dependent Schrödinger equation
+Normal rank
@@ Property / cites work @@
+Dynamical invariants for variable quadratic Hamiltonians
+Normal rank
@@ Property / cites work @@
+On integrability of nonautonomous nonlinear Schrödinger equations
+Normal rank
@@ Property / cites work @@
+Symmetry classes of variable coefficient nonlinear Schrodinger equations
+Normal rank
@@ Property / cites work @@
+Perturbation algebra of an elliptic operator
@@ Property / cites work: Perturbation algebra of an elliptic operator / rank @@
+Normal rank
@@ Property / cites work @@
+Q5520962
@@ Property / cites work: Q5520962 / rank @@
+Normal rank
@@ Property / cites work @@
+Fundamental solutions, transition densities and the integration of Lie symmetries
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Suppression of unbounded gradients in an SDE associated with the Burgers equation
+Normal rank
@@ Property / cites work @@
+Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+The Black-Scholes Equation and Certain Quantum Hamiltonians
+Normal rank
@@ Property / cites work @@
+Q5846799
@@ Property / cites work: Q5846799 / rank @@
+Normal rank
@@ Property / cites work @@
+THE NONLINEAR SUPERPOSITION PRINCIPLE AND THE WEI-NORMAN METHOD
+Normal rank
@@ Property / cites work @@
+Lie theory and separation of variables. 5. The equations <i>iUt</i> + <i>Uxx</i> = 0 and <i>iUt</i> + <i>Uxx −c/x</i>2 <i>U</i> = 0
+Normal rank
@@ Property / cites work @@
+Representations of the Schrödinger group and matrix orthogonal polynomials
+Normal rank
@@ Property / cites work @@
+On the problem of electromagnetic-field quantization
+Normal rank
@@ Property / cites work @@
+On a quasi-linear parabolic equation occurring in aerodynamics
+Normal rank
@@ Property / cites work @@
+The partial differential equation u<sub>t</sub> + uu<sub>x</sub> = μ<sub>xx</sub>
+Normal rank
@@ Property / cites work @@
+A graphical approach to a model of a neuronal tree with a variable diameter
+Normal rank
@@ Property / cites work @@
+The Fokker-Planck equation. Methods of solution and applications.
+Normal rank
@@ Property / cites work @@
+Computation of Fokker-Planck equation
@@ Property / cites work: Computation of Fokker-Planck equation / rank @@
+Normal rank
@@ Property / cites work @@
+Q3997710
@@ Property / cites work: Q3997710 / rank @@
+Normal rank
@@ Property / DOI @@
+.3390/MATH2020096
@@ Property / DOI: 10.3390/MATH2020096 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:401969