Conference publications

Financial Assets Distribution and Nonlinear Fokker–Planck–Kolmogorov Equation

Shapovalov A.V., Trifonov A.Yu, Masalova E.A.

Russia, Tomsk

"Математика. Компьютер. Образование". Cб. трудов XIV международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2007. Vol. 1, 298pp. Pp. 186-193.

The nonlinear Fokker-Planck-Kolmogorov equation (FPKE) with variable coefficients dependent on the first moment is used within the formalism describing increment distributions of prices of assets on the financial markets. Analytical methods of exact and approximate integrability of the nonlinear FPKE are considered for special cased which are of interest in the theory of financial time series.

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