New Solutions for Fokker-Plank Equation of‎ ‎Special Stochastic Process via Lie Point Symmetries

نویسندگان
Dastranj, Elham ID 1
Hejazi, S. Reza ID 2

1 Department of Mathematics, Shahrood University of Technology, Shahrood, Semnan, Iran

2 Department of Mathematics, Shahrood University of Technology, Shahrood, Semnan, Iran

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چکیده

‎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.

کلیدواژه‌ها
Financial market‎, ‎Ornstein-Uhlenbeck‎, ‎Lie algebra symmetries‎, ‎Fokker-Plank