Dynamics of Fokker-Planck Equation with Logarithmic Coefficients and Its Application in Econophysics

作     者：耀志辉 

作者机构：Institute of Theoretical Physics and Department of Physics The Chinese University of Hong Kong Shatin New Territories Hong Kong 

出 版 物：《Chinese Physics Letters》 (中国物理快报（英文版）)

年 卷 期：2010年第27卷第8期

页      面：35-38页

核心收录：

学科分类：080701[工学-工程热物理] 07[理学] 08[工学] 0807[工学-动力工程及工程热物理] 0702[理学-物理学] 

主　　题：Exchange rate Restricted feeding Casings Solutions Rations Solutes 

摘      要：We demonstrate that Fokker Planck equations with logarithmic factors in diffusion and drift terms can be straightforwardly derived from the class of ＂constant elasticity of variance＂ stochastic processes without appealing to any symmetry argument, Analytical closed-form solutions are available for some special cases of this class of Fokker-Planck equations. The dynamics of the underlying stochastic variables are examined. These Fokker-Planck equations have found a rather wide range of applications in various contexts. In particular, in the field of econophysics we have demonstrated their immediate relevance to modelling the exchange rate dynamics in a target zone, e.g. the linked exchange rate system of the Hong Kong dollar. Furthermore, the knowledge of exact solutions in some special cases can be useful as a benchmark to test approximate numerical or analytical procedures.