Your library is a dynamic library. You need to tell the operating system where it can locate it at runtime.
To do so, we will need to do those easy steps:
(1 ) Find where the library is placed if you don't know it.
sudo find / -name the_name_of_the_file.so
(2) Check for the existence of the dynamic library path environment variable(LD_LIBRARY_PATH)
$ echo $LD_LIBRARY_PATH
if there is nothing to be displayed, add a default path value (or not if you wish to)
$ LD_LIBRARY_PATH=/usr/local/lib
(3) We add the desire path, export it and try the application.
Note that the path should be the directory where the path.so.something is. So if path.so.something is in /my_library/path.so.something it should be :
$ LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/my_library/
$ export LD_LIBRARY_PATH
$ ./my_app
source : http://www.gnu.org/software/gsl/manual/html_node/Shared-Libraries.html