Search Results - subject:"Fokker–Planck equation"

Effects of Gaussian colored noise on time evolution of information entropy in a damped harmonic oscillator

Guo, Yong-Feng; Tan, Jian-Guo - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 691-697

two-dimensional Markovian process and the dimension of Fokker–Planck equation is reduced by the linear transformation. The … exact expression of the time dependence of information entropy is derived on the basis of Fokker–Planck equation and the …

Persistent link: https://www.econbiz.de/10011117869

Probabilistic characterization of nonlinear systems under α-stable white noise via complex fractional moments

Alotta, G.; Di Paola, M. - In: Physica A: Statistical Mechanics and its Applications 420 (2015) C, pp. 265-276

ruled by the so called Fractional Fokker–Planck equation. In such equation the diffusive term is the Riesz fractional …

Persistent link: https://www.econbiz.de/10011117906

Hamilton–Jacobi and Fokker–Planck equations for the harmonic oscillator in the inertial regime

Jiménez-Aquino, J.I.; Cortés, Emilio - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 203-209

In this work we use Feynman’s path integral formalism to show the strict equivalence between the Hamilton–Jacobi (HJ) and Fokker–Planck (FP) equations, for a Brownian harmonic oscillator characterized by a Langevin equation within the inertial regime. In this case, the Lagrangian function...

Persistent link: https://www.econbiz.de/10011194089

МОДЕЛИРОВАНИЕ НЕСТАЦИОНАРНЫХ ВРЕМЕННЫХ РЯДОВ ЭКОНОМИЧЕСКОЙ ДИНАМИКИ НА ОСНОВЕ УРАВНЕНИЙ ФОККЕРА – ПЛАНКА

АЛЕКСАНДРОВИЧ, ИСАЕНКО … - In: Бизнес Информ (2014) 3, pp. 99-105

Исследуется актуальная проблема моделирования нестационарных временных рядов экономической динамики. Предложенный подход к моделированию временных рядов...

Persistent link: https://www.econbiz.de/10011271040

Recovering default risk from CDS spreads with a nonlinear filter

Guarin, Alexander; Liu, Xiaoquan; Ng, Wing Lon - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 87-104

(CDS) spreads. Based on the numerical solution of the Fokker–Planck equation (FPE) using a meshfree interpolation method …

Persistent link: https://www.econbiz.de/10010871007

Can log-periodic power law structures arise from random fluctuations?

Wosnitza, Jan Henrik; Leker, Jens - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 228-250

Recent research has established log-periodic power law (LPPL) patterns prior to the detonation of the German stock index (DAX) bubble in 1998. The purpose of this article is to explore whether a Langevin equation extracted from real world data can generate synthetic time series with comparable...

Persistent link: https://www.econbiz.de/10011058118

The Fokker–Planck equation for a bistable potential

Caldas, Denise; Chahine, Jorge; Filho, Elso Drigo - In: Physica A: Statistical Mechanics and its Applications 412 (2014) C, pp. 92-100

The Fokker–Planck equation is studied through its relation to a Schrödinger-type equation. The advantage of this … combination is that we can construct the probability distribution of the Fokker–Planck equation by using well-known solutions of … the Schrödinger equation. By making use of such a combination, we present the solution of the Fokker–Planck equation for a …

Persistent link: https://www.econbiz.de/10011058353

Birth and death master equation for the evolution of complex networks

Alvarez-Martínez, R.; Cocho, G.; Rodríguez, R.F.; … - In: Physica A: Statistical Mechanics and its Applications 402 (2014) C, pp. 198-208

relative node frequencies are given. It is shown that, in the continuous limit, the master equation reduces to a Fokker–Planck … equation (FPE). The basic dynamical function for its stationary solution is the ratio between its drift and diffusion …

Persistent link: https://www.econbiz.de/10011060021

Stochastic volatility models at ρ=±1 as second class constrained Hamiltonian systems

Contreras G., Mauricio - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 289-302

). This stochastic system is equivalent to the Fokker–Planck equation for the transition probability density of the random … by considering the Fokker–Planck equation or the bi-dimensional Black–Scholes equation as a Euclidean quantum Schrödinger …

Persistent link: https://www.econbiz.de/10011062671

An application of nonparametric volatility estimators to option pricing

Kenmoe, Romuald; Sanfelici, Simona - In: Decisions in Economics and Finance 37 (2014) 2, pp. 393-412

We discuss the impact of volatility estimates from high frequency data on derivative pricing. The principal purpose is to estimate the diffusion coefficient of an Itô process using a nonparametric Nadaraya–Watson kernel approach based on selective estimators of spot volatility proposed in the...

Persistent link: https://www.econbiz.de/10010949481