Group classification of a class of equations arising in financial mathematics
Date
2010ISSN
0022-247XSource
Journal of Mathematical Analysis and ApplicationsVolume
372Issue
1Pages
273-286Google Scholar check
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We provide a group classification of a class of nonlinearisable evolution partial differential equations which arise in Financial Mathematics. Sixteen different cases are identified for the general problem and another seven for a restricted version. In the cases for which the algebra is suitable we determine the solution to the problem u(0,x)=U, where U is a constant. In addition we provide a number of solutions based upon reduction using inequivalent subalgebras. © 2010 Elsevier Inc.