A direct solution to the Fokker-Planck equation for exponential Brownian functionals (Q3580191)
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scientific article; zbMATH DE number 5769237
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| English | A direct solution to the Fokker-Planck equation for exponential Brownian functionals |
scientific article; zbMATH DE number 5769237 |
Statements
A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS (English)
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11 August 2010
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Brownian exponential functional
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Fokker-Planck equation
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spectral expansion
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Bessel function
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Dothan model
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0.7350538372993469
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