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zbMath1158.60358MaRDI QIDQ3606312

K. Andriopoulos, Peter G. L. Leach

Publication date: 26 February 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

partial differential equations Lie symmetries financial mathematics

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26) Initial value problems for second-order parabolic equations (35K15)

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

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