Group classification of a class of equations arising in financial mathematics |
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Authors: | NM Ivanova |
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Institution: | Department of Mathematics and Statistics, University of Cyprus, CY 1678 Nicosia, Cyprus |
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Abstract: | We provide a group classification of a class of nonlinearisable evolution partial differential equations which arise in Financial Mathematics. Sixteen different cases are identified for the general problem and another seven for a restricted version. In the cases for which the algebra is suitable we determine the solution to the problem u(0,x)=U, where U is a constant. In addition we provide a number of solutions based upon reduction using inequivalent subalgebras. |
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Keywords: | Group classification Financial mathematics Evolution partial differential equations |
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