The Riccati system and a diffusion-type equation (Q401969): Difference between revisions
From MaRDI portal
Revision as of 22:28, 8 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Riccati system and a diffusion-type equation |
scientific article |
Statements
The Riccati system and a diffusion-type equation (English)
0 references
27 August 2014
0 references
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
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
0 references
0 references
