The Riccati System and a Diffusion-Type Equation
AbstractWe 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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Suazo, E.; Suslov, S.K.; Vega-Guzmán, J.M. The Riccati System and a Diffusion-Type Equation. Mathematics 2014, 2, 96-118.
Suazo E, Suslov SK, Vega-Guzmán JM. The Riccati System and a Diffusion-Type Equation. Mathematics. 2014; 2(2):96-118.Chicago/Turabian Style
Suazo, Erwin; Suslov, Sergei K.; Vega-Guzmán, José M. 2014. "The Riccati System and a Diffusion-Type Equation." Mathematics 2, no. 2: 96-118.