Solving a nonlinear pde that prices real options using utility based pricing methods

We provide group invariant solutions to two nonlinear differential equations associated with the valuing of real options with utility pricing theory. We achieve these through the use of the Lie theory of continuous groups, namely, the classical Lie point symmetries. These group invariant solutions, constructed through the use of the symmetries that also leave the boundary conditions invariant, are consistent with the results in the literature. Thus it may be shown that Lie symmetry algorithms underlie many ad hoc methods that are utilised to solve differential equations in finance.     

基于吴方法的确定和分类(偏)微分方程古典和非古典对称新算法理论

本文基于微分形式吴方法,给出了确定和分类微分方程古典和非古典对称的统一的机械化算法理论.用该理论克服了在传统Lie算法中存在的缺陷,使确定和分类对称更系统和直接,从而扩大了对称方法的应用范围.这也是吴方法在微分领域中一个新的应用.     

Type-II hidden symmetries through weak symmetries for nonlinear partial differential equations

The Type-II hidden symmetries are extra symmetries in addition to the inherited symmetries of the differential equations when the number of independent and dependent variables is reduced by a Lie point symmetry. In [B. Abraham-Shrauner, K.S. Govinder, Provenance of Type II hidden symmetries from nonlinear partial differential equations, J. Nonlinear Math. Phys. 13 (2006) 612-622] Abraham-Shrauner and Govinder have analyzed the provenance of this kind of symmetries and they developed two methods for determining the source of these hidden symmetries. The Lie point symmetries of a model equation and the two-dimensional Burgers' equation and their descendants were used to identify the hidden symmetries. In this paper we analyze the connection between one of their methods and the weak symmetries of the partial differential equation in order to determine the source of these hidden symmetries. We have considered the same models presented in [B. Abraham-Shrauner, K.S. Govinder, Provenance of Type II hidden symmetries from nonlinear partial differential equations, J. Nonlinear Math. Phys. 13 (2006) 612-622], as well as the WDVV equations of associativity in two-dimensional topological field theory which reduces, in the case of three fields, to a single third order equation of Monge-Ampère type. We have also studied a second order linear partial differential equation in which the number of independent variables cannot be reduced by using Lie symmetries, however when is reduced by using nonclassical symmetries the reduced partial differential equation gains Lie symmetries.     

Lie group symmetry analysis for granular media stress equations

The Airy stress function, although frequently employed in classical linear elasticity, does not receive similar usage for granular media problems. For plane strain quasi-static deformations of a cohesionless Coulomb-Mohr granular solid, a single nonlinear partial differential equation is formulated for the Airy stress function by combining the equilibrium equations with the yield condition. This has certain advantages from the usual approach, in which two stress invariants and a stress angle are introduced, and a system of two partial differential equations is needed to describe the flow. In the present study, the symmetry analysis of differential equations is utilised for our single partial differential equation, and by computing an optimal system of one-dimensional Lie algebras, a complete set of group-invariant solutions is derived. By this it is meant that any group-invariant solution of the governing partial differential equation (provided it can be derived via the classical symmetries method) may be obtained as a member of this set by a suitable group transformation. For general values of the parameters (angle of internal friction ? and gravity g) it is found there are three distinct classes of solutions which correspond to granular flows considered previously in the literature. For the two limiting cases of high angle of internal friction and zero gravity, the governing partial differential equation admit larger families of Lie point symmetries, and from these symmetries, further solutions are derived, many of which are new. Furthermore, the majority of these solutions are exact, which is rare for granular flow, especially in the case of gravity driven flows.     

Computation of local symmetries of second-order ordinary differential equations by the Cartan equivalence method

The Cartan equivalence method is used to find out if a given equation has a nontrivial Lie group of point symmetries. In particular, we compute invariants that permit one to recognize equations with a three-dimensional symmetry group. An effective method to transform the Lie system (the system of partial differential equations to be satisfied by the infinitesimal point symmetries) into a formally integrable form is given. For equations with a three-dimensional symmetry group, the formally integrable form of the Lie system is found explicitly. Translated fromMatematicheskie Zametki, Vol. 60, No. 1, pp. 75–91, July, 1996.     

A Lie symmetry analysis and explicit solutions of the two‐dimensional ∞‐Polylaplacian

In this work, we consider the Lie point symmetry analysis of a strongly nonlinear partial differential equation of third order, the ∞‐Polylaplacian, in two spatial dimensions. This equation is a higher order generalization of the ∞‐Laplacian, also known as Aronsson's equation, and arises as the analog of the Euler–Lagrange equations of a second‐order variational principle in L^∞. We obtain its full symmetry group, one‐dimensional Lie subalgebras and the corresponding symmetry reductions to ordinary differential equations. Finally, we use the Lie symmetries to construct new invariant ∞‐Polyharmonic functions.     

Symmetry Analysis of Abel's Equation

A solution algorithm for Abel's equation and some generalizations based on a nontrivial Lie symmetry of a particular kind, i.e., so-called structure-preserving symmetry, is described. For the existence of such a symmetry a criterion in terms of the coefficients of the so-called rational normal form of the given equation is derived. If it is affirmative, solving Abel's equation is reduced to a well-defined integration problem. It is shown that almost all known ad hoc methods for obtaining closed form solutions are consequences of this type of symmetry. Possible extensions of this scheme to more general classes of first-order ordinary differential equations are pointed out.     

第二梯度流体的蠕变流和热传导相似解

给出了在笛卡儿坐标系中,忽略惯性的缓慢流动的二维运动方程和二阶梯度流体的传热方程．当Re1时,若从运动方程中简单地省略惯性项,则结果方程的解仍然近似有效．事实上,从无量纲的动量和能量方程也可导出这一结论．利用李群分析,知道求得的方程是对称的．李代数包括4个有限参数和一个无限参数组成的李群变换,其中一个是比例对称变换,另一个是平移变换．利用对称性求得两种不同形式的解．利用x和y坐标的平移,给出了指数形式的精确解．对于比例对称变换,更多地涉及到常微分方程,只能给出级数形式的近似解,最后讨论了某些边值问题．     

Lie-group method for unsteady flows in a semi-infinite expanding or contracting pipe with injection or suction through a porous wall

The unsteady incompressible laminar flow in a semi-infinite porous circular pipe with injection or suction through the pipe wall whose radius varies with time is considered. The present analysis simulates the flow field by the burning of inner surface of cylindrical grain in a solid rocket motor, in which the burning surface regresses with time. We apply Lie-group method for determining symmetry reductions of partial differential equations. Lie-group method starts out with a general infinitesimal group of transformations under which given partial differential equations are invariant, then, the determining equations are derived [Ibragimov, Elementary Lie Group Analysis and Ordinary Differential Equations, Wiley, New York, 1999; Hydon, Symmetry Methods for Differential Equations, Cambridge University Press, Cambridge, 2000; Olver, Applications of Lie Groups to Differential Equations, Springer, New York, 1986; Seshadri, Na, Group invariance in engineering boundary value problems, Springer, New York, 1985; Yi, Fengxiang, Lie symmetries of mechanical systems with unilateral holonomic constraints, Chinese Sci. Bull. 45 (2000) 1354–1358; Moritz, Schwalm, Uherka, Finding Lie groups that reduce the order of discrete dynamical systems, J. Phys. A: Math. 31 (1998) 7379–7402; Nucci, Clarkson, The nonclassical method is more general than the direct method for symmetry reductions. An example of the Fitzhugh–Nagumo equation, Phys. Lett. A 164 (1992) 49–56; Basarab, Lahno, Group classification of nonlinear partial differential equations: a new approach to resolving the problem, Proceedings of Institute of Mathematics of NAS of Ukraine, vol. 43, 2002, pp. 86–92; Burde, Expanded Lie group transformations and similarity reductions of differential equations, Proceedings of Institute of Mathematics of NAS of Ukraine, vol. 43, 2002, pp. 93–101; Gandarias, Bruzon, Classical and nonclassical symmetries of a generalized Boussinesq equation, J. Nonlinear Math. Phys. 5 (1998) 8–12; Hill, Solution of Differential Equations by Means of One-Parameter Groups, Pitman Publishing Co., 1982]. The determining equations are a set of linear differential equations, the solution of which gives the transformation function or the infinitesimals of the dependent and independent variables. After the group has been determined, a solution to the given partial differential equation may be found from the invariant surface condition such that its solution leads to similarity variables that reduce the number of independent variables in the system. Effect of the cross-flow Reynolds number Re and the dimensionless wall expansion ratio $\alpha$ on velocity, flow streamlines, axial and radial pressure drop, and wall shear stress has been studied both analytically and numerically and the results are plotted.     

On the equivalence of Lie symmetries and group representations

We consider families of linear, parabolic PDEs in n dimensions which possess Lie symmetry groups of dimension at least four. We identify the Lie symmetry groups of these equations with the (2n+1)-dimensional Heisenberg group and SL(2,R). We then show that for PDEs of this type, the Lie symmetries may be regarded as global projective representations of the symmetry group. We construct explicit intertwining operators between the symmetries and certain classical projective representations of the symmetry groups. Banach algebras of symmetries are introduced.     

Symmetry Analysis of Differential Equations Using MATHLIE

A general procedure for solving ordinary differential equations of arbitrary order is discussed. The method used is based on symmetries of a differential equation. The known symmetries allow the derivation of first integrals of the equation. The knowledge of at least r symmetries of an ordinary differential equation of order n with r n is the basis for deriving the solution. Our aim is to show that Lie's theory is a useful tool for solving ordinary differential equations of higher orders. Bibliography: 12 titles.     

Symmetry analysis of the charged squashed Kaluza–Klein black hole metric

In this research article, a complete analysis of symmetries and conservation laws for the charged squashed Kaluza–Klein black hole space‐time in a Riemannian space is discussed. First, a comprehensive group analysis of the underlying space‐time metric using Lie point symmetries is presented, and then the n‐dimensional optimal system of this space‐time metric, for n = 1,…,4, are computed. It is shown that there is no any n‐dimensional optimal system of Lie symmetry subalgebra associated to the system of geodesic for n≥5. Then the point symmetries of the one‐parameter Lie groups of transformations that leave invariant the action integral corresponding to the Lagrangian that means Noether symmetries are found, and then the conservation laws associated to the system of geodesic equations are calculated via Noether's theorem. Copyright © 2015 John Wiley & Sons, Ltd.     

Field theoretical Lie symmetry analysis: The Möbius group,exact solutions of conformal autonomous systems,and predictive model-building

We study single and coupled first-order differential equations (ODEs) that admit symmetries with tangent vector fields, which satisfy the N-dimensional Cauchy–Riemann equations. In the two-dimensional case, classes of first-order ODEs which are invariant under Möbius transformations are explored. In the N dimensional case we outline a symmetry analysis method for constructing exact solutions for conformal autonomous systems. A very important aspect of this work is that we propose to extend the traditional technical usage of Lie groups to one that could provide testable predictions and guidelines for model-building and model-validation. The Lie symmetries in this paper are constrained and classified by field theoretical considerations and their phenomenological implications. Our results indicate that conformal transformations are appropriate for elucidating a variety of linear and nonlinear systems which could be used for, or inspire, future applications. The presentation is pragmatic and it is addressed to a wide audience.     

Classification of scalar third order ordinary differential equations linearizable via generalized contact transformations

Whereas Lie had linearized scalar second order ordinary differential equations (ODEs) by point transformations, and later Chern had extended to the third order by using contact transformation, till recently no work had been done for higher order (or systems) of ODEs. Lie had found a unique class defined by the number of infinitesimal symmetry generators but the more general ODEs were not so classified. Recently, classifications of higher order and systems of ODEs were provided. In this paper we relate contact symmetries of scalar ODEs with point symmetries of reduced systems. We define a new type of transformation that builds upon this relation and obtain equivalence classes of scalar third order ODEs linearizable via these transformations. Four equivalence classes of such equations are seen to exist.     

Residual symmetry,nth Bäcklund transformation,and soliton-cnoidal wave interaction solution for the combined modified KdV–negative-order modified KdV equation

This paper is concerned with the nth Bäcklund transformation (BT) related to multiple residual symmetries and soliton-cnoidal wave interaction solution for the combined modified KdV–negative-order modified KdV (mKdV-nmKdV) equation. The residual symmetry derived from the truncated Painlevé expansion can be extended to the multiple residual symmetries, which can be localized to Lie point symmetries by prolonging the combined mKdV-nmKdV equation to a larger system. The corresponding finite symmetry transformation, ie, nth BT, is presented in determinant form. As a result, new multiple singular soliton solutions can be obtained from known ones. We prove that the combined mKdV-nmKdV equation is integrable, possessing the second-order Lax pair and consistent Riccati expansion (CRE) property. Furthermore, we derive the exact soliton and soliton-cnoidal wave interaction solutions by applying the nonauto-BT obtained from the CRE method.     

A relationship between λ‐symmetries and first integrals for ordinary differential equations

In this paper, we provide some geometric properties of λ‐symmetries of ordinary differential equations using vector fields and differential forms. According to the corresponding geometric representation of λ‐symmetries, we conclude that first integrals can also be derived if the equations do not possess enough symmetries. We also investigate the properties of λ‐symmetries in the sense of the deformed Lie derivative and differential operator. We show that λ‐symmetries have the exact analogous properties as standard symmetries if we take into consideration the deformed cases.     

Equations of Pseudo-Spherical Type (After S.S. Chern and K. Tenenblat)

This paper surveys some recent developments around the notion of a scalar partial differential equation describing pseudo-spherical surfaces due to Chern and Tenenblat. It is shown how conservation laws, pseudo-potentials, and linear problems arise naturally from geometric considerations, and it is also explained how Darboux and B?cklund transformations can be constructed starting from geometric data. Classification results for equations in this class are stated, and hierarchies of equations of pseudo-spherical type are introduced, providing a connection between differential geometry and the study of hierarchies of equations which are the integrability condition of sl(2, R)-valued linear problems. Furthermore, the existence of correspondences between any two solutions to equations of pseudo-spherical type is reviewed, and a correspondence theorem for hierarchies is also mentioned. As applications, an elementary immersion result for pseudo-spherical metrics arising from the Chern?CTenenblat construction is proven, and non-local symmetries of the Kaup?CKupershmidt, Sawada?CKotera, fifth order Korteweg?Cde Vries and Camassa?CHolm (CH) equation with non-zero critical wave speed are considered. It is shown that the existence of a non-local symmetry of a particular type is enough to single the first three equations out from a whole family of equations describing pseudo-spherical surfaces while, in the CH case, it is shown that it admits an infinite-dimensional Lie algebra of non-local symmetries which includes the Virasoro algebra.     

时滞Lagrange系统的Lie对称性与守恒量研究

研究了位形间中含单时滞参数的非保守力学系统的Lie对称性和守恒量。首先,利用含时滞的动力学Hamilton原理,建立了含时滞的非保守系统的分段Lagrange运动方程;其次,利用微分方程容许Lie群理论,得到系统的Lie对称确定方程;然后,根据对称性与守恒量之间的关系,通过构造结构方程,得到含时滞的非保守系统的Lie定理;最后,给出了两个具体的算例说明了方法的应用。结果表明:时滞参数的存在使非保守系统的Lagrange方程呈现分段特性,相应的Lie对称性确定方程的个数应是自由度数目的2倍,这对生成元函数提出了更高的限制,同时,守恒量呈现依赖速度项的分段表达。     

Associate symmetries: A novel procedure for finding contact symmetries

A new method for finding contact symmetries is proposed for both ordinary and partial differential equations. Symmetries more general than Lie point are often difficult to find owing to an increased dependency of the infinitesimal functions on differential quantities. As a consequence, the invariant surface condition is often unable to be “split” into a reasonably sized set of determining equations, if at all. The problem of solving such a system of determining equations is here reduced to the problem of finding its own point symmetries and thus subsequent similarity solutions to these equations. These solutions will (in general) correspond to some subset of symmetries of the original differential equations. For this reason, we have termed such symmetries associate symmetries. We use this novel method of associate symmetries to determine new contact symmetries for a non-linear PDE and a second order ODE which could not previously be found using computer algebra packages; such symmetries for the latter are particularly difficult to find. We also consider a differential equation with known contact symmetries in order to illustrate that the associate symmetry procedure may, in some cases, be able to retrieve all such symmetries.