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arXiv · 1703.06623

Non-integrability of the Huang--Li nonlinear financial model

Wojciech Szumiński
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Abstract

In this paper we consider Huang--Li nonlinear financial system recently studied in the literature. It has the form of three first order differential equations \[ \dot x=z+(y-a)x,\quad \dot y=1-b y-x^2,\quad \dot z=-x-c z, \] where $(a,b,c)$ are real positive parameters. We show that this system is not integrable in the class of functions meromorphic in variables $(x,y,z)$. We give an analytic proof of this fact analysing properties the of differential Galois group of variational equations along certain particular solutions of the system.

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Wojciech Szumiński. 2017-03-20. Non-integrability of the Huang--Li nonlinear financial model. https://arxiv.org/abs/1703.06623

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