Title of article
New Solutions for Fokker-Plank Equation of Special Stochastic Process via Lie Point Symmetries
Author/Authors
Dastranj ، Elham - Shahrood University of Technology , Hejazi ، S. Reza - Shahrood University of Technology
Pages
13
From page
30
To page
42
Abstract
In this paper Lie symmetry analysis is applied in order to find new solutions for Fokker Plank equation of Ornstein-Uhlenbeck process. This analysis classifies the solutions format of the Fokker Plank equation by using the Lie algebra of the symmetries of our considered stochastic process.
Keywords
Financial market , Ornstein , Uhlenbeck , Lie algebra symmetries , Fokker , Plank
Journal title
Computational Methods for Differential Equations
Serial Year
2017
Journal title
Computational Methods for Differential Equations
Record number
2456823
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