A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters

DOI10.1002/mma.3383zbMath1411.91490OpenAlexW1759673869MaRDI QIDQ2795443

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Publication date: 21 March 2016

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.3383

zbMATH Keywords

stochastic controlLie symmetriesfinancial mathematicsevolution partial differential equations

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) General properties and structure of complex Lie groups (22E10) Portfolio theory (91G10)

Related Items (1)

The Lie symmetry approach on (1+2)-dimensional financial models

Uses Software

• SYM

Cites Work

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