Symmetries of the backward heat equation with potential and interest rate models

DOI10.1016/j.crma.2014.03.024zbMath1302.35022OpenAlexW1980850564MaRDI QIDQ460724

Hélène Quintard, Paul Lescot

Publication date: 14 October 2014

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2014.03.024

zbMATH Keywords

Hamilton-Jacobi-Bellman equationisovector algebra

Mathematics Subject Classification ID

Ill-posed problems for PDEs (35R25) Hamilton-Jacobi equations (35F21) Symmetries, invariants, etc. in context of PDEs (35B06)

Related Items (1)

Bernstein processes, isovectors and mechanics

Cites Work

• Symmetries of the Black-Scholes equation
• Symmetries in the stochastic calculus of variations
• Path dependent options on yields in the affine term structure model
• Geometric Approach to Invariance Groups and Solution of Partial Differential Systems
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