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Fokker Planck Equation Derivation: Local Volatility, Ornstein Uhlenbeck, and Geometric Brownian

Explains the derivation of the Fokker Planck Equation for Local Volatility, Ornstein Uhlenbeck, and Geometric Brownian Motion processes using the Stochastic Differential Equation (SDE) approach. Also explains the Infinitesimal Generator and Semi-group concepts, which are widely used in the study of Markov processes. The Fokker Planck Equation is also known as the Kolmogorov Forward equation. Content by timeline below:

01:18 / 21:18- Derivation of the Fokker Planck for the Standard Brownian Motion
07:38 / 21:18- Derivation of the Fokker Planck for the General SDE/Local Volatility
11:58 / 21:18- Fokker Planck Equation for the Geometric Brownian and Ornstein-Uhlenbeck
13:06 / 21:18- Infinitesimal Generator and Semi-Group theory

Видео Fokker Planck Equation Derivation: Local Volatility, Ornstein Uhlenbeck, and Geometric Brownian канала quantpie
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26 сентября 2019 г. 0:07:02
00:21:19
quantpie
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