Extension of Euler's method to parabolic equations

DOI10.1016/J.CNSNS.2008.04.010MaRDI QIDQ716640zbMATH OpenOpenAlexFDO

Authors Nail H. Ibragimov

Publication date 30 September 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2008.04.010

zbMATH Keywords

parabolic equationssemi-invariantgeneral solution to blackreducible equationsScholes equation

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Other special methods applied to PDEs (35A25) Initial-boundary value problems for second-order parabolic equations (35K20)

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Cites work

• scientific article; zbMATH DE number 6415405 (Why is no real title available?)
• Laplace type invariants for parabolic equations
• Lie symmetry analysis of differential equations in finance
• The pricing of options and corporate liabilities

Cited in

(5)

• Differential invariants for systems of linear hyperbolic equations
• On the invariants of two dimensional linear parabolic equations
• Differential invariants for third-order evolution equations
• Closed-form solutions via the invariant approach for one-factor commodity models
• A survey on integration of parabolic equations by reducing them to the heat equation

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