Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance

DOI10.1155/2013/156965MaRDI QIDQ2016655zbMATH OpenOpenAlexWikidataFDO

Authors Han-Ze Liu

Publication date 20 June 2014

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/156965

zbMATH Keywords

Lie symmetry analysissymmetry reductionsgeneralized power series method

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Symmetries, invariants, etc. in context of PDEs (35B06) Series solutions to PDEs (35C10)

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Cites work

• scientific article; zbMATH DE number 478435 (Why is no real title available?)
• An algorithm for the complete symmetry classification of differential equations based on Wu's method
• Complete group classification and exact solutions to the generalized short pulse equation
• Group classifications, optimal systems and exact solutions to the generalized Thomas equations
• Invariance properties of a general bond-pricing equation
• Invariant solutions of the Black-Scholes equation
• Lie group classifications and exact solutions for two variable-coefficient equations
• Lie group symmetries as integral transforms of fundamental solutions
• Lie symmetry analysis and exact explicit solutions for general Burgers' equation
• Lie symmetry analysis of differential equations in finance
• Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions
• Painlevé analysis, Lie symmetries, and exact solutions for the time-dependent coefficients gardner equations
• Partial differential equations with Fourier series and boundary value problems
• Potential symmetries and solutions by reduction of partial differential equations
• Symmetry and integration methods for differential equations
• Symmetry group methods for fundamental solutions
• Symmetry reductions and exact solutions of the affine heat equation
• Symmetry reductions and exact solutions to the systems of carbon nanotubes conveying fluid
• The exact analytic solutions of a nonlinear differential iterative equation

Cited in

(6)

• Financial Applications of Symbolically Generated Compact Finite Difference Formulae
• The Lie symmetry approach on (1+2)-dimensional financial models
• Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance
• Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
• Density symmetries for a class of 2-D diffusions with applications to finance
• Lie symmetry analysis on pricing weather derivatives by partial differential equations

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