Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries
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DOI: 10.1142/S2424786318500093
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- Huang, Qing & Zhdanov, Renat, 2014. "Symmetries and exact solutions of the time fractional Harry-Dym equation with Riemann–Liouville derivative," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 110-118.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
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- Habibi, Noora & Lashkarian, Elham & Dastranj, Elham & Hejazi, S. Reza, 2019. "Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker–Planck equations for special stochastic process in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 750-766.
- Dastranj, Elham & Sahebi Fard, Hossein & Abdolbaghi, Abdolmajid & Reza Hejazi, S., 2020. "Power option pricing under the unstable conditions (Evidence of power option pricing under fractional Heston model in the Iran gold market)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
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Keywords
Fokker–Planck equation; time-fractional PDE; geometric Brownian motion; lie symmetry;All these keywords.
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