Description
We discuss a method of constructing solutions of the initial value problem for diffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered. Examples include, but are not limited to the Fokker-Planck equation in physics, the Black-Scholes equation and the Hull-White model in finance.
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Title
- The Riccati System and a Diffusion-Type Equation
Contributors
- Suazo, Erwin (Author)
- Suslov, Sergei (Author)
- Vega-Guzman, Jose M. (Author)
- College of Liberal Arts and Sciences (Contributor)
Date Created
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2014-05-15
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Identifier
- Digital object identifier: 10.3390/math2020096
- Identifier TypeInternational standard serial numberIdentifier Value2227-7390
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Suazo, E., Suslov, S., & Vega-Guzmán, J. (2014). The Riccati System and a Diffusion-Type Equation. Mathematics, 2(2), 96-118. doi:10.3390/math2020096