Optimal systems and group invariant solutions for a model arising in financial mathematics
We consider a bond‐pricing model described in terms of partial differential equations (PDEs). Classical Lie point symmetry analysis of the considered PDEs resulted in a number of point symmetries being admitted. The one‐dimensional optimal system of subalgebras is constructed. Following the symmetr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2009-12-01
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| Series: | Mathematical Modelling and Analysis |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/MMA/article/view/6572 |
| Summary: | We consider a bond‐pricing model described in terms of partial differential equations (PDEs). Classical Lie point symmetry analysis of the considered PDEs resulted in a number of point symmetries being admitted. The one‐dimensional optimal system of subalgebras is constructed. Following the symmetry reductions, we determine the group‐invariant solutions.
First published online: 14 Oct 2010
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| ISSN: | 1392-6292 1648-3510 |