Algebraic aspects of evolution partial differential equation arising in the study of constant elasticity of variance model from financial mathematics
Motsepa Tanki, Aziz Taha, Fatima Aeeman and 1 more
Open Physics · 2018
doi:10.1515/phys-2018-0006 (opens in a new tab)
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Abstract
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 used to obtain an exact solution of the governing model satisfying a standard terminal condition. Finally, we construct conservation laws of the underlying equation using the general theorem on conservation laws.
Abstract licence: CC BY-NC-ND
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