The European Physical Journal Special Topics

, Volume 226, Issue 3, pp 529–532

Invariants of Fokker-Planck equations

Regular Article

DOI: 10.1140/epjst/e2016-60215-1

Cite this article as:
Abe, S. Eur. Phys. J. Spec. Top. (2017) 226: 529. doi:10.1140/epjst/e2016-60215-1
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Part of the following topical collections:
  1. Nonlinearity, Nonequilibrium and Complexity: Questions and Perspectives in Statistical Physics

Abstract

A weak invariant of a stochastic system is defined in such a way that its expectation value with respect to the distribution function as a solution of the associated Fokker-Planck equation is constant in time. A general formula is given for time evolution of the fluctuations of the invariant. An application to the problem of share price in finance is illustrated. It is shown how this theory makes it possible to reduce the growth rate of the fluctuations.

Copyright information

© EDP Sciences and Springer 2017

Authors and Affiliations

  1. 1.Physics Division, College of Information Science and Engineering, Huaqiao UniversityXiamen 361021, P.R.China
  2. 2.Department of Physical EngineeringMie UniversityMie 514-8507Japan
  3. 3.Institute of Physics, Kazan Federal UniversityKazan 420008Russia

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