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  • Search: subject:"Fokker–Planck equation"
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Year of publication
Subject
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Fokker–Planck equation 71 Fokker-Planck equation 36 Theorie 14 Stochastischer Prozess 13 Stochastic process 12 Theory 12 Fractional Fokker–Planck equation 8 Nonlinear Fokker–Planck equation 6 Prognoseverfahren 5 Schätzung 5 Brownian motion 4 Estimation 4 Estimation theory 4 Forecasting model 4 Kinetic theory 4 Langevin equation 4 Option pricing 4 Schätztheorie 4 Statistical distribution 4 Statistische Verteilung 4 Analysis 3 Anomalous diffusion 3 Black-Scholes model 3 Boltzmann equation 3 Bose and Fermi systems 3 Generalized entropy 3 Markov process 3 Master equation 3 Monte Carlo simulation 3 Option pricing theory 3 Optionspreistheorie 3 Statistical test 3 Statistischer Test 3 Stochastic differential equation 3 Stochastic processes 3 Subdiffusion 3 Subdiffusive bistable systems 3 Anlageverhalten 2 Asset pricing 2 Bistable potential 2
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Online availability
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Undetermined 103 Free 23
Type of publication
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Article 112 Book / Working Paper 22
Type of publication (narrower categories)
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Article in journal 15 Aufsatz in Zeitschrift 15 Working Paper 11 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 2
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Language
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Undetermined 103 English 31
Author
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Lux, Thomas 6 Liu, K.L. 4 Xu, Wei 4 Alfarano, Simone 3 Alfonsi, Aurélien 3 Daffertshofer, A. 3 Frank, T.D. 3 Milaković, Mishael 3 Mundt, Philipp 3 So, F. 3 Xu, Yong 3 Zhang, Huiqing 3 Abulwafa, E.M. 2 Bayer, Christian 2 Bottazzi, Giulio 2 Böhl, Gregor 2 Darbyshire, Kirsty F.F. 2 El-Wakil, S.A. 2 Filho, Elso Drigo 2 Fischer, Thomas 2 Gadomski, A 2 Ghonghadze, Jaba 2 Giachini, Daniele 2 Gorban, Alexander N. 2 Guarin, Alexander 2 Karlin, Iliya V. 2 Kim, Kyungsik 2 Kim, SooYong 2 Labart, Céline 2 Lelong, Jérôme 2 Lim, Gyuchang 2 Liu, Xiaoquan 2 Magdziarz, Marcin 2 Oppenheim, Irwin 2 Orzel, Sebastian 2 Peinke, Joachim 2 Rubı́, J.M 2 Sanfelici, Simona 2 Shea, Joan-Emma 2 Swailes, David C. 2
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Institution
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 HAL 2 Institut für Weltwirtschaft (IfW) 2 CESifo 1 Santa Fe Institute 1 University of Virginia, Department of Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 80 HSC Research Reports 3 International journal of financial engineering 2 Journal of economic dynamics & control 2 Kiel Working Paper 2 Kiel Working Papers 2 Mathematics and Computers in Simulation (MATCOM) 2 The European journal of finance 2 Annals of Finance 1 Annals of finance 1 Annals of the Institute of Statistical Mathematics 1 Applied Energy 1 BERG Working Paper Series 1 BERG working paper series 1 CESifo Working Paper 1 CESifo Working Paper Series 1 Computational Economics 1 Computational Optimization and Applications 1 Computational Statistics & Data Analysis 1 Decisions in Economics and Finance 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Dynamic games and applications : DGA 1 Finance research letters 1 IMFS Working Paper Series 1 International Journal of Applied Econometrics and Quantitative Studies 1 International game theory review 1 International journal of production research 1 Journal of Economic Behavior & Organization 1 Journal of Economic Dynamics and Control 1 Journal of economic behavior & organization : JEBO 1 LEM Working Paper Series 1 LEM working paper series 1 Les cahiers du GERAD 1 MPRA Paper 1 Mathematical Population Studies 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Natural Hazards 1 Post-Print / HAL 1 Quantitative finance and economics 1 RIETI discussion paper series 1
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Source
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RePEc 106 ECONIS (ZBW) 20 EconStor 8
Showing 101 - 110 of 134
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Nonequilibrium thermodynamics versus model grain growth: derivation and some physical implications
Rubı́, J.M; Gadomski, A - In: Physica A: Statistical Mechanics and its Applications 326 (2003) 3, pp. 333-343
Nonequilibrium thermodynamic formalism is proposed to derive the flux of grainy (bubbles-containing) matter, emerging in a nucleation and growth process. Some power- and nonpower limits, due to the applied potential as well as owing to basic correlations in such systems, have been discussed....
Persistent link: https://www.econbiz.de/10011058102
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Memory effects in nonlinear transport: kinetic equations and ratchet devices
Santamarı́a-Holek, I; Rubı́, J.M - In: Physica A: Statistical Mechanics and its Applications 326 (2003) 3, pp. 384-399
memory effects. In the framework of mesoscopic nonequilibrium thermodynamics, we obtain a generalized Fokker–Planck equation …
Persistent link: https://www.econbiz.de/10011058539
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Onsager's regression and the field theory of parabolic transport processes
Gambár, Katalin; Márkus, Ferenc - In: Physica A: Statistical Mechanics and its Applications 320 (2003) C, pp. 193-203
On the basis of a Hamiltonian and canonical formalism of simple parabolic transport processes the action for short time intervals can be calculated. In the knowledge of action, we can examine the stochastic behavior of these processes and we conclude that these are Markovian in the space of...
Persistent link: https://www.econbiz.de/10011059086
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Anomalous diffusion, nonlinear fractional Fokker–Planck equation and solutions
Lenzi, E.K.; Malacarne, L.C.; Mendes, R.S.; Pedron, I.T. - In: Physica A: Statistical Mechanics and its Applications 319 (2003) C, pp. 245-252
We obtain new exact classes of solutions for the nonlinear fractional Fokker–Planck-like equation ∂tρ=∂x{D(x)∂μ−1xρν−F(x)ρ} by considering a diffusion coefficient D=D|x|−θ(θ∈R and D0) and a drift force F=−k1x+k̄γx|x|γ−1(k1,k̄γ,γ∈R). Connection with nonextensive...
Persistent link: https://www.econbiz.de/10011059298
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Probability amplitude structure of Fokker–Plank equation
Torres, M.S.; Figueiredo, J.M.A. - In: Physica A: Statistical Mechanics and its Applications 329 (2003) 1, pp. 68-80
present a perturbative scheme for the associated Ito Fokker–Planck equation. The first two terms of this expansion arc noise …
Persistent link: https://www.econbiz.de/10011059388
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Finite volume effects in a model grain growth
Gadomski, A; Łuczka, J; Rudnicki, R - In: Physica A: Statistical Mechanics and its Applications 325 (2003) 1, pp. 284-291
Usually the distribution function of grains is defined on a semi-axis of all possible sizes of grains. It leads to some inconsistency, because volume of the individual grain can be arbitrary large and can be larger than the total volume of the system as a whole. Therefore in this paper we want...
Persistent link: https://www.econbiz.de/10011063897
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Gauge symmetry in Fokker–Planck dynamics
de Montigny, M.; Khanna, F.C.; Santana, A.E. - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 327-335
condition, the Euler–Lagrange equations are written covariantly in R, and then the Fokker–Planck equation is derived, such that …
Persistent link: https://www.econbiz.de/10010589367
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Theory of nanocluster nucleation under continuous supply of monomers
Volkov, A.E. - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 336-356
Self-consistent analytical approach describes temporary steady-state nucleation of precipitates in a supersaturated solid solution under continuous generation of a solvent component. This kinetic stage appears due to dynamic balance between generation of monomers in the system and their...
Persistent link: https://www.econbiz.de/10010590548
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Maximum-entropy approach with higher moments for solving Fokker–Planck equation
El-Wakil, S.A.; Abulwafa, E.M.; Abdou, M.A.; Elhanbaly, A. - In: Physica A: Statistical Mechanics and its Applications 315 (2002) 3, pp. 480-492
The maximum-entropy method with higher number of moments is used to solve the Fokker–Planck equation. An adopted Newton … function of the Fokker–Planck equation. The calculations are carried out for three examples. (1) The bistable systems of double …
Persistent link: https://www.econbiz.de/10010873968
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The diffusion-drift equation on comb-like structure
El-Wakil, S.A.; Zahran, M.A.; Abulwafa, E.M. - In: Physica A: Statistical Mechanics and its Applications 303 (2002) 1, pp. 27-34
From the generalized scheme of random walks on the comb-like structure, one can obtain the fractional Fokker–Planck … equation in the domain of fractal time evolution with critical exponent β(0<β⩽1). The operator method for the moments …
Persistent link: https://www.econbiz.de/10011060422
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