The Riccati system and a diffusion-type equation

DOI10.3390/MATH2020096MaRDI QIDQ401969zbMATH OpenOpenAlexFDO

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

Publication date 27 August 2014

Published in Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

autonomous and nonautonomous Burgers equationsBlack-Scholes equationErmakov equation and Ermakov-type systemHull-White modelRiccati equation and Riccati-type system

Mathematics Subject Classification ID

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

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.

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.

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Cited in

(15)

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