Please use this identifier to cite or link to this item: https://hdl.handle.net/10321/2335
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dc.contributor.authorPaliathanasis, Andronikosen_US
dc.contributor.authorMorris, Richard M.en_US
dc.contributor.authorLeach, P. G. L.en_US
dc.date.accessioned2017-03-09T06:30:13Z-
dc.date.available2017-03-09T06:30:13Z-
dc.date.issued2016-
dc.identifier.citationPaliathanasis, A.; Morris, R.M. and Leach, P.G.L. 2016. Lie Symmetries of (1+2) nonautonomous evolution equations in financial mathematics. Mathematics. 4(2): 1-14.en_US
dc.identifier.issn2227-7390 (print)-
dc.identifier.urihttp://hdl.handle.net/10321/2335-
dc.description.abstractWe analyse two classes of (1 + 2) evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem. Our approach is that of Lie Symmetry Analysis. We study these equations for the case in which they are autonomous and for the case in which the parameters of the equations are unspecified functions of time. For the autonomous Black-Scholes Equation we find that the symmetry is maximal and so the equation is reducible to the (1 + 2) Classical Heat Equation. This is not the case for the nonautonomous equation for which the number of symmetries is submaximal. In the case of the two-factor equation the number of symmetries is submaximal in both autonomous and nonautonomous cases. When the solution symmetries are used to reduce each equation to a (1 + 1) equation, the resulting equation is of maximal symmetry and so equivalent to the (1 + 1) Classical Heat Equation.en_US
dc.format.extent14 pen_US
dc.language.isoenen_US
dc.publisherMDPIen_US
dc.relation.ispartofMathematics (Basel)en_US
dc.subjectLie point symmetriesen_US
dc.subjectFinancial Mathematicsen_US
dc.subjectPrices of commoditiesen_US
dc.subjectBlack-scholes equationen_US
dc.titleLie Symmetries of (1+2) nonautonomous evolution equations in financial mathematicsen_US
dc.typeArticleen_US
dc.publisher.urihttp://www.mdpi.com/2227-7390/4/2/34/htmen_US
dc.dut-rims.pubnumDUT-005581en_US
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item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.languageiso639-1en-
item.openairetypeArticle-
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item.cerifentitytypePublications-
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