Solution to the Fokker-Plank equation in the path integral method

2024;
: pp. 1046–1057
https://doi.org/10.23939/mmc2024.04.1046
Received: July 16, 2023
Revised: November 06, 2024
Accepted: November 20, 2024

Yanishevskyi V. S.  Solution to the Fokker–Plank equation in the path integral method.  Mathematical Modeling and Computing. Vol. 11, No. 4, pp. 1046–1057 (2024)

1
Lviv Polytechnic National University

A Fokker–Plank equation of multiple variables corresponding to a system of SDE is considered.  Solution for transition probability density is written in a form of path integral.  It is shown that the proposed path integral brings a known result received by a different approach for Heston model. Differences of results based on path integral given in a number of papers were also pointed out.

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