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We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…

Computational Finance · Quantitative Finance 2015-10-19 Andrey Itkin

Carleman linearization is a mathematical technique that transforms nonlinear dynamical systems into infinite-dimensional linear systems, enabling simplified analysis. Initially developed for ordinary differential equations (ODEs) and later…

Optimization and Control · Mathematics 2025-09-03 Marcos A. Hernandez-Ortega , C. M. Rergis , A. Roman-Messina , Erlan R. Murillo-Aguirre

The numerical solution of differential equations can be formulated as an inference problem to which formal statistical approaches can be applied. However, nonlinear partial differential equations (PDEs) pose substantial challenges from an…

Numerical Analysis · Mathematics 2021-08-26 Junyang Wang , Jon Cockayne , Oksana Chkrebtii , T. J. Sullivan , Chris. J. Oates

Using geometric methods for linearizing systems of second order cubically semi-linear ordinary differential equations, we extend to the third order by differentiating the second order equation. This yields criteria for linearizability of a…

Classical Analysis and ODEs · Mathematics 2007-11-09 Fazal M. Mahomed , Asghar Qadir

A family of solutions of the Jacobi PDEs is investigated. This family is $n$-dimensional, of arbitrary nonlinearity and can be globally analyzed (thus improving the usual local scope of Darboux theorem). As an outcome of this analysis it is…

Mathematical Physics · Physics 2019-11-22 Benito Hernández-Bermejo

We examine whether the Painleve property is necessary for the integrability of partial differential equations (PDEs). We show that in analogy to what happens in the case of ordinary differential equations (ODEs) there exists a class of…

Exactly Solvable and Integrable Systems · Physics 2008-04-24 K. M. Tamizhmani , Basil Grammaticos , Alfred Ramani

Nonlinear self-adjointness method for constructing conservation laws of partial differential equations (PDEs) is further studied. We show that any adjoint symmetry of PDEs is a differential substitution of nonlinear self-adjointness and…

Mathematical Physics · Physics 2019-05-22 Zhi-Yong Zhang

An algorithmic method using conservation law multipliers is introduced that yields necessary and sufficient conditions to find invertible mappings of a given nonlinear PDE to some linear PDE and to construct such a mapping when it exists.…

Mathematical Physics · Physics 2010-07-09 Stephen C. Anco , George Bluman , Thomas Wolf

The linearizability of differential equations was first considered by Lie for scalar second order semi-linear ordinary differential equations. Since then there has been considerable work done on the algebraic classification of linearizable…

Classical Analysis and ODEs · Mathematics 2008-04-25 Asghar Qadir

Partial differential equations (PDEs) that fit scientific data can represent physical laws with explainable mechanisms for various mathematically-oriented subjects, such as physics and finance. The data-driven discovery of PDEs from…

Machine Learning · Computer Science 2023-05-29 Yingtao Luo , Qiang Liu , Yuntian Chen , Wenbo Hu , Tian Tian , Jun Zhu

In this paper, we develop an algebraic approach to classifying contact symmetries of the second-order nonlinear evolution equations. Up to contact isomorphisms, all inequivalent PDEs admitting semi-simple algebras, solvable algebras of…

Mathematical Physics · Physics 2013-01-11 Qing Huang , Renat Zhdanov , Changzheng Qu

The problem of classification into symmetry integrable classes is solved for a family of second order nonlinear evolution equations labeled by arbitrary functions. Four nonequivalent symmetry integrable classes are thus obtained and the…

Exactly Solvable and Integrable Systems · Physics 2023-01-04 J. C. Ndogmo

We discuss Lie algebras of the Lie symmetry groups of two generically non-integrable equations in one temporal and two space dimensions arising in different contexts. The first is a generalization of the KP equation and contains 9 arbitrary…

Exactly Solvable and Integrable Systems · Physics 2013-09-09 Faruk Gungor

Selection of 25 examples from extensive nontrivial families for different types of nonlinear PDEs and their formal general solutions are given. The main goal here is to show on examples the types of solvable PDEs and what their general…

Mathematical Physics · Physics 2007-05-23 Yu. N. Kosovtsov

Integrable difference equations commonly have more low-order conservation laws than occur for nonintegrable difference equations of similar complexity. We use this empirical observation to sift a large class of difference equations, in…

Exactly Solvable and Integrable Systems · Physics 2009-09-05 Peter E. Hydon , Claude-M. Viallet

An explicit formula to find symmetry recursion operators for partial differential equations (PDEs) is obtained from new results connecting variational integrating factors and non-variational symmetries. The formula is special case of a…

Mathematical Physics · Physics 2023-01-11 Stephen C. Anco , Bao Wang

The branching methods developed are effective methods to solve some semi linear PDEs and are shown numerically to be able to solve some full non linear PDEs. These methods are however restricted to some small coefficients in the PDE and…

Probability · Mathematics 2017-01-27 Xavier Warin

Partial differential equations (PDEs) are at the heart of many mathematical and scientific advances. While great progress has been made on the theory of PDEs of standard types during the last eight decades, the analysis of nonlinear PDEs of…

Analysis of PDEs · Mathematics 2022-08-16 Gui-Qiang G. Chen

In this paper we consider the classification of dispersive linearizable partial difference equations defined on a quad-graph by the multiple scale reduction around their harmonic solution. We show that the A_1, A_2 and A_3 linearizability…

Exactly Solvable and Integrable Systems · Physics 2015-05-20 R. Hernandez Heredero , D. Levi , C. Scimiterna

The density profiles and other quantities of physical interest for spherically symmetric systems are computed by assuming that a collisionless stellar gas may relax to the non-Gaussian power law distribution suggested by the nonextensive…

Astrophysics · Physics 2011-07-19 J. A. S. Lima , R. E. de Souza