Linearization in Financial Mathematics

Abstract We consider certain forms of nonlinear partial differential equations that arise in Financial Mathematics. Our central aim is to derive mappings that connect such equations with linear equations. We use point and contact transformations and also Hopf-Cole transformations. The concept of inf...

Full description

Saved in:
Bibliographic Details
Published in:Journal of physics. Conference series 2023-12, Vol.2667 (1), p.12063
Main Author: Sophocleous, Christodoulos
Format: Article
Language:English
Subjects:
Linear equations
Mathematical analysis
Nonlinear differential equations
Partial differential equations
Physics
Transformations (mathematics)
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Abstract We consider certain forms of nonlinear partial differential equations that arise in Financial Mathematics. Our central aim is to derive mappings that connect such equations with linear equations. We use point and contact transformations and also Hopf-Cole transformations. The concept of infinite-dimensional (Lie or contact) symmetries admitted by linearizable equations is discussed.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/2667/1/012063