geometrical properties of differential equations applications of the lie group analysis in financial mathematics

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Geometrical Properties Of Differential Equations

Author : Ljudmila A Bordag
ISBN : 9789814667265
Genre : Mathematics
File Size : 76. 23 MB
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This textbook is a short comprehensive and intuitive introduction to Lie group analysis of ordinary and partial differential equations. This practical-oriented material contains a large number of examples and problems accompanied by detailed solutions and figures. In comparison with the known beginner guides to Lie group analysis, the book is oriented toward students who are interested in financial mathematics, mathematical finance and economics. We provide the results of the Lie group analysis of actual models in Financial Mathematics using recent publications. These models are usually formulated as nonlinear partial differential equations and are rather difficult to make use of. With the help of Lie group analysis it is possible to describe some important properties of these models and to obtain interesting reductions in a clear and understandable algorithmic way. The book can serve as a short introduction for a further study of modern geometrical analysis applied to models in financial mathematics. It can also be used as textbook in a master's program, in an intensive compact course, or for self study. The textbook with a large number of examples will be useful not only for students who are interested in Financial Mathematics but also for people who are working in other areas of research that are not directly connected with Physics (for instance in such areas of Applied Mathematics like mathematical economy, bio systems, coding theory, etc.).

Novel Methods In Computational Finance

Author : Matthias Ehrhardt
ISBN : 9783319612829
Genre : Mathematics
File Size : 50. 13 MB
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This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Elementary Lie Group Analysis And Ordinary Differential Equations

Author : Nailʹ Khaĭrullovich Ibragimov
ISBN : 0471974307
Genre : Mathematics
File Size : 57. 87 MB
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Lie group analysis, based on symmetry and invariance principles, is the only systematic method for solving nonlinear differential equations analytically. One of Lie's striking achievements was the discovery that the majority of classical devices for integration of special types of ordinary differential equations could be explained and deduced by his theory. Moreover, this theory provides a universal tool for tackling considerable numbers of differential equations when other means of integration fail. * This is the first modern text on ordinary differential equations where the basic integration methods are derived from Lie group theory * Includes a concise and self contained introduction to differential equations * Easy to follow and comprehensive introduction to Lie group analysis * The methods described in this book have many applications The author provides students and their teachers with a flexible text for undergraduate and postgraduate courses, spanning a variety of topics from the basic theory through to its many applications. The philosophy of Lie groups has become an essential part of the mathematical culture for anyone investigating mathematical models of physical, engineering and natural problems.

Conservation Laws And Symmetry Applications To Economics And Finance

Author : Ryuzo Sato
ISBN : 9789401711456
Genre : Business & Economics
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Modem geometric methods combine the intuitiveness of spatial visualization with the rigor of analytical derivation. Classical analysis is shown to provide a foundation for the study of geometry while geometrical ideas lead to analytical concepts of intrinsic beauty. Arching over many subdisciplines of mathematics and branching out in applications to every quantitative science, these methods are, notes the Russian mathematician A.T. Fomenko, in tune with the Renais sance traditions. Economists and finance theorists are already familiar with some aspects of this synthetic tradition. Bifurcation and catastrophe theo ries have been used to analyze the instability of economic models. Differential topology provided useful techniques for deriving results in general equilibrium analysis. But they are less aware of the central role that Felix Klein and Sophus Lie gave to group theory in the study of geometrical systems. Lie went on to show that the special methods used in solving differential equations can be classified through the study of the invariance of these equations under a continuous group of transformations. Mathematicians and physicists later recognized the relation between Lie's work on differential equations and symme try and, combining the visions of Hamilton, Lie, Klein and Noether, embarked on a research program whose vitality is attested by the innumerable books and articles written by them as well as by biolo gists, chemists and philosophers.

Stochastic Models Information Theory And Lie Groups Volume 1

Author : Gregory S. Chirikjian
ISBN : 9780817648039
Genre : Mathematics
File Size : 47. 25 MB
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This unique two-volume set presents the subjects of stochastic processes, information theory, and Lie groups in a unified setting, thereby building bridges between fields that are rarely studied by the same people. Unlike the many excellent formal treatments available for each of these subjects individually, the emphasis in both of these volumes is on the use of stochastic, geometric, and group-theoretic concepts in the modeling of physical phenomena. Stochastic Models, Information Theory, and Lie Groups will be of interest to advanced undergraduate and graduate students, researchers, and practitioners working in applied mathematics, the physical sciences, and engineering. Extensive exercises and motivating examples make the work suitable as a textbook for use in courses that emphasize applied stochastic processes or differential geometry.

Partial Differential Equations

Author : Michael E. Taylor
ISBN : 0387946543
Genre : Mathematics
File Size : 48. 61 MB
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Mathematics is playing an ever more important role in the physical and biological sciences, provoking a blurring of boundaries between scientific disciplines and a resurgence of interest in the modem as weIl as the classical techniques of applied mathematics. This renewal of interest, both in research and teaching, has led to the establishment of the series: Texts in Applied Mathematics (TAM). The development of new courses is a natural consequence of a high level of excitement on the research frontier as newer techniques, such as numerical and symbolic computer systems, dynamical systems, and chaos, mix with and reinforce the traditional methods of applied mathematics. Thus, the purpose of this textbook series is to meet the current and future needs of these advances and encourage the teaching of new courses. TAM will publish textbooks suitable for use in advanced undergraduate and beginning graduate courses, and will complement the Applied Mathematical Sci ences (AMS) series, which will focus on advanced textbooks and research level monographs.

Lectures On Symplectic Geometry

Author : Ana Cannas da Silva
ISBN : 9783540453307
Genre : Mathematics
File Size : 77. 47 MB
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Geometrical Methods Of Mathematical Physics

Author : Bernard F. Schutz
ISBN : 0521298873
Genre : Mathematics
File Size : 31. 48 MB
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For physicists and applied mathematicians working in the fields of relativity and cosmology, high-energy physics and field theory, thermodynamics, fluid dynamics and mechanics. This book provides an introduction to the concepts and techniques of modern differential theory, particularly Lie groups, Lie forms and differential forms.

Stanford Bulletin

Author :
ISBN : STANFORD:36105130990026
Genre : Education
File Size : 38. 56 MB
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Stochastic Models Information Theory And Lie Groups Volume 2

Author : Gregory S. Chirikjian
ISBN : 9780817649432
Genre : Mathematics
File Size : 84. 15 MB
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This two-volume set covers stochastic processes, information theory and Lie groups in a unified setting, bridging topics rarely studied together. The emphasis is on using stochastic, geometric, and group-theoretic concepts for modeling physical phenomena.

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