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Conference publicationsFinancial Assets Distribution and Nonlinear Fokker–Planck–Kolmogorov EquationRussia, Tomsk The nonlinear Fokker-Planck-Kolmogorov equation (FPKE) with variable coefficients dependent on the first moment is used within the formalism describing increment distributions of prices of assets on the financial markets. Analytical methods of exact and approximate integrability of the nonlinear FPKE are considered for special cased which are of interest in the theory of financial time series. |
