Algebraic aspects of evolution partial differential equation arising in the study of constant elasticity of variance model from financial mathematics

The optimal investment-consumption problem under the constant elasticity of variance (CEV) model is investigated from the perspective of Lie group analysis. The Lie symmetry group of the evolution partial differential equation describing the CEV model is derived. The Lie point symmetries are then us...

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Principais autores:	Motsepa Tanki, Aziz Taha, Fatima Aeeman, Khalique Chaudry Masood
Formato:	Artigo
Idioma:	Inglês
Publicado:	De Gruyter 2018-03-01
Series:	Open Physics
Assuntos:	cev model terminal condition lie point symmetries group-invariant solution conservation laws 02.20.sv 02.20.tw 02.30.jr 02.60.lj
Acceso en liña:	https://doi.org/10.1515/phys-2018-0006
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