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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

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 physics, the Black-Scholes equation and the Hull-White model in finance.

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    Date Created
    • 2014-05-15
    Resource Type
  • Text
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    Identifier
    • Digital object identifier: 10.3390/math2020096
    • Identifier Type
      International standard serial number
      Identifier Value
      2227-7390

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    Suazo, E., Suslov, S., & Vega-Guzmán, J. (2014). The Riccati System and a Diffusion-Type Equation. Mathematics, 2(2), 96-118. doi:10.3390/math2020096

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