TY - JOUR
T1 - Generalized Fokker-Planck equation with time-dependent transport coefficients and a quadratic potential
T2 - Its application in econophysics
AU - Wang, Peng
AU - Wang, Shun Jin
AU - Zhang, Hua
PY - 2005/1
Y1 - 2005/1
N2 - In order to control non-equilibrium processes and to describe the fat-tail phenomenon in econophysics, we generalize the traditional the Fokker-Planck equation (FPE) by including a quadratic correlation potential, and by making the time-dependent drift-diffusion coefficients. We investigate the su(1, 1) ⊕ u(1) algebraic structure and obtain the exact solutions to the generalized time-dependent FPE by using the algebraic dynamical method. Based on the exact solution, an important issue in modern econophysics, i.e. the fat-tail distribution in stock markets, is analysed.
AB - In order to control non-equilibrium processes and to describe the fat-tail phenomenon in econophysics, we generalize the traditional the Fokker-Planck equation (FPE) by including a quadratic correlation potential, and by making the time-dependent drift-diffusion coefficients. We investigate the su(1, 1) ⊕ u(1) algebraic structure and obtain the exact solutions to the generalized time-dependent FPE by using the algebraic dynamical method. Based on the exact solution, an important issue in modern econophysics, i.e. the fat-tail distribution in stock markets, is analysed.
UR - http://www.scopus.com/inward/record.url?scp=24344466198&partnerID=8YFLogxK
U2 - 10.1088/0256-307X/22/1/002
DO - 10.1088/0256-307X/22/1/002
M3 - Article
AN - SCOPUS:24344466198
SN - 0256-307X
VL - 22
SP - 5
EP - 8
JO - Chinese Physics Letters
JF - Chinese Physics Letters
IS - 1
ER -