The Lie symmetry algebra of the Longstaff-Schwartz model

Abstract

This study uses Lie's theory of symmetries to compute the symmetry group of a class of partial differential equations parameterized by four constants: $u_{t}=-\left((a-bx)u_{x}+(d-ey)u_{y}+\frac{x}{2}u_{xx}+\frac{y}{2}u_{yy}\right)$; under the various conditions on the constants $a,b,d$ and $e$, we deduce the largest and smallest Lie algebra of symmetries, and we also determined the structure of these algebras.