The Riccati System and a Diffusion-Type Equation
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.
- Author (aut): Suazo, Erwin
- Author (aut): Suslov, Sergei
- Author (aut): Vega-Guzman, Jose M.
- Contributor (ctb): College of Liberal Arts and Sciences