Solution to the Fokker-Plank equation in the path integral method
A Fokker–Plank equation of multiple variables corresponding to a system of SDE is considered. Solution for transition probability density is written in a form of path integral. It is shown that the proposed path integral brings a known result received by a different approach for Heston model. Differ...
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| Published in | Mathematical Modeling and Computing Vol. 11; no. 4; pp. 1046 - 1057 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
2024
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| Online Access | Get full text |
| ISSN | 2312-9794 2415-3788 |
| DOI | 10.23939/mmc2024.04.1046 |
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| Summary: | A Fokker–Plank equation of multiple variables corresponding to a system of SDE is considered. Solution for transition probability density is written in a form of path integral. It is shown that the proposed path integral brings a known result received by a different approach for Heston model. Differences of results based on path integral given in a number of papers were also pointed out. |
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| ISSN: | 2312-9794 2415-3788 |
| DOI: | 10.23939/mmc2024.04.1046 |