Distribution of Return Transition for Bohm-Vigier Stochastic Mechanics in Stock Market
Chang Liu, Chuo Chang, Zhe Chang
The Bohm-Vigier stochastic model is assumed as a natural generalization of the Black-Scholes model in stock market. The behavioral factor of stock market recognizes as a hidden sector in Bohmian mechanics. A Fokker-Planck equation description for the Bohm-Vigier stochastic model is presented. We find the familiar Boltzmann distribution is a stationary solution of the Fokker-Planck equation for the Bohm-Vigier model. The return transition distribution of stock market, which corresponds with a time-dependent solution of the Fokker-Planck equation, is obtained.
Symmetry•Jul 17, 2023•0 citations