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• W2136115174 startingPage "1099" @default.
• W2136115174 abstract "In a case study, the exact solution of a self-consistent Langevin equation associated with a nonlinear Fokker–Planck equation is derived. On the basis of this solution, a Monte Carlo simulation scheme for the Langevin equation is proposed. The case study addresses a generalized geometric Brownian walk that describes the collective dynamics of a large set of interacting stocks. Numerical results obtained from the Monte Carlo simulation are compared with analytical solutions derived from the nonlinear Fokker–Planck equation. The power of the Monte Carlo simulation is demonstrated for situations in which analytical solutions are not available." @default.
• W2136115174 created "2016-06-24" @default.
• W2136115174 creator A5023981151 @default.
• W2136115174 date "2007-03-20" @default.
• W2136115174 modified "2023-09-27" @default.
• W2136115174 title "EXACT SOLUTIONS AND MONTE CARLO SIMULATIONS OF SELF-CONSISTENT LANGEVIN EQUATIONS: A CASE STUDY FOR THE COLLECTIVE DYNAMICS OF STOCK PRICES" @default.
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• W2136115174 doi "https://doi.org/10.1142/s0217979207036904" @default.
• W2136115174 hasPublicationYear "2007" @default.
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