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Symmetry

Distribution of Return Transition for Bohm-Vigier Stochastic Mechanics in Stock Market

Chang Liu, Chuo Chang, Zhe Chang

Published Jul 17, 2023• 0 citations
Publisher

Abstract

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.

DOI
10.3390/sym15071431

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