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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2018-03-01
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| Series: | Open Physics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/phys-2018-0006 |