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
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
Journal title :
Computational Methods for Differential Equations
