Semiclassical asymptotics of nonlinear Fokker-Plank equation for distributions of asset returns

Abstract

The semiclassical approximation method is applied for solution construction of the Fokker-Planck equation with quadratic nonlocal nonlinearity and various coefficients in models of asset returns estimation. Analitical expressions determining nonlinear evolution operator are obtained in semiclasical approximation.

Keywords

• Fokker–Plank equation
• semiclassical approximation
• economics