Algebraic aspects of evolution partial differential equation arising in the study of constant elasticity of variance model from financial mathematics

Author:

Motsepa Tanki,Aziz Taha,Fatima Aeeman,Khalique Chaudry Masood

Abstract

AbstractThe 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.

Publisher

Walter de Gruyter GmbH

Subject

General Physics and Astronomy

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