Optimal systems and group invariant solutions for a model arising in financial mathematics
Abstract
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
Keywords:
point symmetries, optimal systems, bond‐pricing model, invariant solutionsHow to Cite
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Copyright (c) 2009 The Author(s). Published by Vilnius Gediminas Technical University.
This work is licensed under a Creative Commons Attribution 4.0 International License.
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Copyright
Copyright (c) 2009 The Author(s). Published by Vilnius Gediminas Technical University.
License
This work is licensed under a Creative Commons Attribution 4.0 International License.