A unified approach for the solution of the Fokker-Planck equation
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Publication:4526110
DOI10.1088/0305-4470/33/27/311zbMath0988.82047arXivphysics/0004074OpenAlexW3103793739MaRDI QIDQ4526110
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Publication date: 16 July 2002
Published in: Journal of Physics A: Mathematical and General (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0004074
numerical integrationFokker-Planck equationdiscrete singular convolution algorithmcollocationfinite differenceBlack-Scholes equationincompressible Euler equationrepulsive Wong process
Financial applications of other theories (91G80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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