The Riccati system and a diffusion-type equation

DOI10.3390/math2020096zbMath1297.35105arXiv1102.4630OpenAlexW2112658592MaRDI QIDQ401969

José M. Vega-Guzmán, Erwin Suazo, Sergei K. Suslov

Publication date: 27 August 2014

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.4630

zbMATH Keywords

Black-Scholes equationHull-White modelautonomous and nonautonomous Burgers equationsErmakov equation and Ermakov-type systemRiccati equation and Riccati-type system

Mathematics Subject Classification ID

Fundamental solutions to PDEs (35A08) Integral representations of solutions to PDEs (35C15) Initial value problems for second-order parabolic equations (35K15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84)

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