| Generalized Fokker-Planck Equation with Time-Dependent Transport Coefficients and a Quadratic Potential： Its Application in Econophysics |
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| 作者姓名： | 王鹏 王顺金 张华 |
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| 作者单位： | [1]InstituteofPhysics,SouthwestJiaotongUniversity,Chengdu610031 [3]InstituteofPhysics,SouthwestJiaotongUniversity,Chengdu610031／／DepartmentofPhysics,SichuanUniversity,Chengdu610064 |
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| 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.
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| 关 键 词： | 广义Fokker-Planck方程 时间依赖传输系数 二次势能 精确解 偏微分 统计物理学 |
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