Symmetry analysis of a model of stochastic volatility with time-dependent parameters

DOI10.1016/j.cam.2011.03.009zbMath1231.91493MaRDI QIDQ548314

Yong-Cai Geng, Sumit K. Garg

Publication date: 28 June 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.03.009

zbMATH Keywords

stochastic processes; symmetries; nonlinear evolution equations

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

35K15: Initial value problems for second-order parabolic equations

35C06: Self-similar solutions to PDEs

Uses Software

• REDUCE
• SYM
• LIE