Generalized Fokker-Planck Equation with Time-Dependent Transport Coefficients and a Quadratic Potential: Its Application in Econophysics

• 来源期刊: 中国物理快报（英文版）
• 年，卷（期）: 2005,（1）
• 页码范围: 5-8
• 页数: 4页
• 语种: 英文

摘要

In order to control non-equilibrium processes and to describe the fat-tail phenomenon in econophysics, we generalize the traditional the Fokker-Planck equation (FPE) by including a quadratic correlation potential, and by making the time-dependent drift-diffusion coefficients. We investigate the su(1, 1) ~ u(1) algebraic structure and obtain the exact solutions to the generalized time-dependent FPE by using the algebraic dynamical method. Based on the exact solution, an important issue in modern econophysics, i.e. the fat-tail distribution in stock markets, is analysed.