Black-Scholes方程的条件Lie-Bcklund对称和不变子空间  

Conditional Lie-Bcklund Symmetry and Invariant Subspace for Black-Scholes Equation

作　　者：左苏丽[1] 勾明 李吉娜[2] 黄晴[1] 

机构地区：[1]西北大学数学系非线性中心现代物理研究所,西安710127 [2]中原工学院理学院,郑州450007

出　　处：《工程数学学报》2015年第6期883-892,共10页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金数学天元基金(11226195;11326167);陕西省教育厅基金(JC11217);河南省自然科学基金(122300410166);河南省教育厅自然科学基金(13A110119)

摘　　要：偏微分方程的精确解蕴含了方程丰富的信息,对于描述各种现象的发展规律起着至关重要的作用.因此偏微分方程的精确解成为了数学、物理、经济等领域研究的热点问题.本文研究了金融数学中最重要的模型之一Black-Scholes方程的广义分离变量解.运用条件Lie-Bcklund对称与不变子空间理论相结合的方法,本文得到了形如欧拉方程的条件Lie-Bcklund对称.该方程允许的条件Lie-Bcklund对称与高阶变系数的常微分方程相对应.同时,我们还得到了该方程允许此特征的所有精确解.The exact solution of partial differential equations, which contains rich information for the equations, is very important for describing the development of various phenomena and thus becomes a research focus of scientific fields such as mathematics, physics, economy and so on. In this paper, the generalized separable solutions for Black-Scholes equation, which is one of most important models arising in financial mathematics, are discussed. By using the conditional Lie-Backlund symmetry and invariant subspace theory, we obtain the conditional Lie-Backlund symmetries, which are similar to Euler equation. The conditional Lie-Backlund symmetries, which are admitted by Black-Scholes, ave corresponding to high-order variable coefficient ordinary differential equations. At the same time, all of exact solutions associated to the conditional Lie-Backlund symmetries are performed.

关 键 词：BLACK-SCHOLES方程 条件Lie—Bcklund对称 不变子空间 欧拉方程 

分 类 号：O175.2[理学—数学]