Browsing by Subject "Nonlinear evolution equation"
Now showing items 1-3 of 3
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Article
Algebraic solution of the Stein-Stein model for stochastic volatility
(2011)We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
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Article
Symmetry analysis of a model of stochastic volatility with time-dependent parameters
(2011)We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the ...
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Article
Symmetry and singularity analyses of some equations of the fifth and sixth order in the spatial variable arising from the modelling of thin films
(2013)In the modelling of the flow of thin films higher-order derivatives in the spatial variable are introduced to model nonlinear effects. We examine nonlinear evolution equations of the fifth and sixth orders in the spatial ...