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.
Subject
General Physics and Astronomy
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