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
1 Institute of Physics, Southwest Jiaotong University, Chengdu 610031
2 Department of Physics, Sichuan University, Chengdu 610064
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
1 Institute of Physics, Southwest Jiaotong University, Chengdu 610031
2 Department of Physics, Sichuan University, Chengdu 610064
关键词 ：
03.65.Fd ,
89.65.Gh
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.
Key words ：
03.65.Fd
89.65.Gh
出版日期: 2005-01-01
:
03.65.Fd
(Algebraic methods)
89.65.Gh
(Economics; econophysics, financial markets, business and management)
引用本文:
WANG Peng;WANG Shun-Jin;ZHANG Hua. Generalized Fokker--Planck Equation with Time-Dependent Transport Coefficients and a Quadratic Potential: Its Application in Econophysics[J]. 中国物理快报, 2005, 22(1): 5-8.
链接本文:
https://cpl.iphy.ac.cn/CN/
或
https://cpl.iphy.ac.cn/CN/Y2005/V22/I1/5
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