The Riccati system and a diffusion-type equation (Q401969): Difference between revisions
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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. | |||
| 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 35K15 / rank | |||
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| Property / Mathematics Subject Classification ID: 35A08 / rank | |||
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| Property / Mathematics Subject Classification ID: 35Q84 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 35Q91 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 35C15 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6334888 / rank | |||
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| Property / zbMATH Keywords | |||
autonomous and nonautonomous Burgers equations | |||
| Property / zbMATH Keywords: autonomous and nonautonomous Burgers equations / rank | |||
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Black-Scholes equation | |||
| Property / zbMATH Keywords: Black-Scholes equation / rank | |||
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Hull-White model | |||
| Property / zbMATH Keywords: Hull-White model / rank | |||
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| Property / zbMATH Keywords | |||
Riccati equation and Riccati-type system | |||
| Property / zbMATH Keywords: Riccati equation and Riccati-type system / rank | |||
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Ermakov equation and Ermakov-type system | |||
| Property / zbMATH Keywords: Ermakov equation and Ermakov-type system / rank | |||
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Revision as of 16:35, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Riccati system and a diffusion-type equation |
scientific article |
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The Riccati system and a diffusion-type equation (English)
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27 August 2014
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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.
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autonomous and nonautonomous Burgers equations
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Black-Scholes equation
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Hull-White model
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Riccati equation and Riccati-type system
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Ermakov equation and Ermakov-type system
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