Invariants of Fokker-Planck equations

dc.contributor.author	Abe S.
dc.date.accessioned	2018-09-19T21:56:07Z
dc.date.available	2018-09-19T21:56:07Z
dc.date.issued	2017
dc.identifier.issn	1951-6355
dc.identifier.uri	https://dspace.kpfu.ru/xmlui/handle/net/144498
dc.description.abstract	© 2017, EDP Sciences and Springer.A weak invariant of a stochastic system is defined in such a way that its expectation value with respect to the distribution function as a solution of the associated Fokker-Planck equation is constant in time. A general formula is given for time evolution of the fluctuations of the invariant. An application to the problem of share price in finance is illustrated. It is shown how this theory makes it possible to reduce the growth rate of the fluctuations.
dc.relation.ispartofseries	European Physical Journal: Special Topics
dc.title	Invariants of Fokker-Planck equations
dc.type	Article
dc.relation.ispartofseries-issue	3
dc.relation.ispartofseries-volume	226
dc.collection	Публикации сотрудников КФУ
dc.relation.startpage	529
dc.source.id	SCOPUS19516355-2017-226-3-SID85014707994

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Публикации сотрудников КФУ Scopus [24551]
Коллекция содержит публикации сотрудников Казанского федерального (до 2010 года Казанского государственного) университета, проиндексированные в БД Scopus, начиная с 1970г.