EXACT SOLUTIONS AND MONTE CARLO SIMULATIONS OF SELF-CONSISTENT LANGEVIN EQUATIONS: A CASE STUDY FOR THE COLLECTIVE DYNAMICS OF STOCK PRICES

DOI10.1142/S0217979207036904zbMath1144.82336MaRDI QIDQ3444912

Till D. Frank

Publication date: 5 June 2007

Published in: International Journal of Modern Physics B (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationnonlinear Fokker-Planck equationseconophysicsself-consistent Langevin equations

Mathematics Subject Classification ID

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

Related Items (3)

VIRIAL THEOREM AND NON-EQUILIBRIUM CANONICAL-DISSIPATIVE DISTRIBUTIONS CHARACTERIZING PARKINSON TREMOR ⋮ COLLECTIVE BEHAVIOR OF BIOPHYSICAL SYSTEMS WITH THERMODYNAMIC FEEDBACK LOOPS: A CASE STUDY FOR A NONLINEAR MARKOV MODEL — THE TAKATSUJI SYSTEM ⋮ NUMERIC AND EXACT SOLUTIONS OF THE NONLINEAR CHAPMAN–KOLMOGOROV EQUATION: A CASE STUDY FOR A NONLINEAR SEMI-GROUP MARKOV MODEL

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• Fokker-Planck Equation for an Inverse-Square Force
• Classical Langevin equations for the free electron gas and blackbody radiation
• H-theorem and generalized entropies within the framework of nonlinear kinetics

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