Extension of Euler's method to parabolic equations

DOI10.1016/J.CNSNS.2008.04.010zbMath1221.35184OpenAlexW2079796802MaRDI QIDQ716640

Nail H. Ibragimov

Publication date: 30 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2008.04.010

zbMATH Keywords

parabolic equationssemi-invariantgeneral solution to blackreducible equationsScholes equation

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Other special methods applied to PDEs (35A25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Closed-form solutions via the invariant approach for one-factor commodity models ⋮ On the invariants of two dimensional linear parabolic equations ⋮ Differential invariants for third-order evolution equations ⋮ Differential invariants for systems of linear hyperbolic equations

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Lie symmetry analysis of differential equations in finance
• Laplace type invariants for parabolic equations

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