Lie symmetry analysis and conservation laws for the time fractional Black-Scholes equation

被引：32
|
作者：
Chatibi, Youness [1 ]
El Kinani, El Hassan [1 ]
Ouhadan, Abdelaziz [2 ]
机构：
[1] Moulay Ismail Univ, Natl Sch Arts & Crafts, Math Dept, Math Modeling & Sci Comp Team, Meknes, Morocco
[2] Reg Ctr Educ & Training Trades, Math & Didact Res Team, Fes Meknes, Morocco
来源：
INTERNATIONAL JOURNAL OF GEOMETRIC METHODS IN MODERN PHYSICS | 2020年 / 17卷 / 01期
关键词：
Fractional Black-Scholes equation; Lie group analysis; invariant subspace method; conservation laws; DIFFERENTIAL-EQUATIONS; DIRECT CONSTRUCTION;
D O I：
10.1142/S0219887820500103
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this paper, the Lie symmetry algebra admitted by the time fractional Black-Scholes equation is obtained by using the Lie group method. The constructed symmetry generators are investigated to construct a family of exact solutions and conservation laws for the studied equation. At the same time, the family of solutions is extended by using the invariant subspace method.
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页数：14
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