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Generalized Fokker--Planck Equation with Time-Dependent Transport Coefficients and a Quadratic Potential: Its Application in Econophysics |
| WANG Peng1;WANG Shun-Jin1,2;ZHANG Hua1 |
| 1Institute of Physics, Southwest Jiaotong University, Chengdu 610031
2Department of Physics, Sichuan University, Chengdu 610064 |
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| Cite this article: |
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WANG Peng, WANG Shun-Jin, ZHANG Hua 2005 Chin. Phys. Lett. 22 5-8 |
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Abstract 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.
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| Keywords:
03.65.Fd
89.65.Gh
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Published: 01 January 2005
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| PACS: |
03.65.Fd
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(Algebraic methods)
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89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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