The Riccati System and a Diffusion-Type Equation

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...

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Bibliographic Details
Main Authors: Erwin Suazo, Sergei K. Suslov, José M. Vega-Guzmán
Format: Article
Language:English
Published: MDPI AG 2014-05-01
Series:Mathematics
Subjects:
diffusion-type equations
Green’s function
fundamental solution
autonomous and nonautonomous Burgers equations
Fokker-Planck equation
Black-Scholes equation
the Hull-White model
Riccati equation and Riccati-type system
Ermakov equation and Ermakov-type system
Online Access:http://www.mdpi.com/2227-7390/2/2/96

Internet

http://www.mdpi.com/2227-7390/2/2/96

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