Infinite product expansion of the Fokker-Planck equation with steady-state solution

RJ Martin; RV Craster; MJ Kearney

doi:10.1098/rspa.2015.0084

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Journal article

Infinite product expansion of the Fokker-Planck equation with steady-state solution

RJ Martin, RV Craster and MJ Kearney

PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol.471(2179), ARTN 20150

08/07/2015

DOI: https://doi.org/10.1098/rspa.2015.0084

Abstract

Science & Technology

Multidisciplinary Sciences

Science & Technology - Other Topics

Ornstein-Uhlenbeck process

infinite product

asymptotics

diffusion

mathematical finance

DIFFUSION

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Title: Infinite product expansion of the Fokker-Planck equation with steady-state solution
Creators: RJ Martin
RV Craster
MJ Kearney
Publication Details: PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol.471(2179), ARTN 20150
Publisher: ROYAL SOC
Date published: 08/07/2015
Date submitted: 26/05/2016
Identifiers: 99516455702346
Academic Unit: University of Surrey
Language: English
Resource Type: Journal article

Infinite product expansion of the Fokker-Planck equation with steady-state solution

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