The Riccati system and a diffusion-type equation

DOI10.3390/MATH2020096zbMATH Open1297.35105arXiv1102.4630OpenAlexW2112658592MaRDI QIDQ401969FDOQ401969

Authors: Erwin Suazo, Sergei K. Suslov, José M. Vega-Guzmán 

Publication date: 27 August 2014

Published in: Mathematics (Search for Journal in Brave)

Abstract: We discuss a method of constructing solution of the initial value problem for duffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered.

Full work available at URL: https://arxiv.org/abs/1102.4630

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zbMATH Keywords

Black-Scholes equationHull-White modelautonomous and nonautonomous Burgers equationsErmakov equation and Ermakov-type systemRiccati equation and Riccati-type system

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integral representations of solutions to PDEs (35C15) Initial value problems for second-order parabolic equations (35K15) Fokker-Planck equations (35Q84) Fundamental solutions to PDEs (35A08)

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Cited In (14)

• Exact solutions and critical behaviour for a linear growth-diffusion equation on a time-dependent domain
• An approximate solution of Riccati's differential equation using fuzzy linguistic model
• The Riccati differential equation and a diffusion-type equation
• An Introduction to Special Functions with Some Applications to Quantum Mechanics
• Richardson method for a diffusion equation with functional delay
• A semi-analytical solutions of fractional Riccati's differential equation via singular and non-singular operators
• A simple PDE and Wiener‐Hopf Riccati equations
• Riccati-Ermakov systems and explicit solutions for variable coefficient reaction-diffusion equations
• An example of interplay between Physics and Mathematics: Exact resolution of a new class of Riccati equations
• Lie-Hamilton systems on Riemannian and Lorentzian spaces from conformal transformations and some of their applications
• Dynamical properties of generalized traveling waves of exactly solvable forced Burgers equations with variable coefficients
• Multisymplectic structures and invariant tensors for Lie systems
• Poisson–Hopf algebra deformations of Lie–Hamilton systems
• The Riccati equation in mathematical finance.

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