A closed solution to the Fokker-Planck equation applied to forecasting

DOI10.1016/J.PHYSA.2014.10.079zbMath1395.82194OpenAlexW2029972782MaRDI QIDQ1783289

Chris Montagnon

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.10.079

zbMATH Keywords

forecastingautoregressionFokker-Planckclosed solutions

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (4)

Supersymmetric quantum mechanics method for the Fokker-Planck equation with applications to protein folding dynamics ⋮ Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker-Planck equations for special stochastic process in foreign exchange markets ⋮ Exact solutions and numerical simulations of time-fractional Fokker-Plank equation for special stochastic process ⋮ Invariant analysis, analytical solutions, and conservation laws for two-dimensional time fractional Fokker-Planck equation

Cites Work

• Time series: theory and methods.
• The Fokker-Planck equation. Methods of solutions and applications.
• A note on estimating drift and diffusion parameters from time series
• Analysis of data sets of stochastic systems
• Unnamed Item

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