Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
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Publication:5314503
DOI10.2991/jnmp.2005.12.2.8zbMath1080.35163OpenAlexW2108878465MaRDI QIDQ5314503
K. Andriopoulos, Viroshan Naicker, Peter G. L. Leach
Publication date: 5 September 2005
Published in: Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2991/jnmp.2005.12.2.8
Hamilton-Jacobi-Bellman equationdiffusion equationBlack-Scholes equationLie point symmetriesmean-variance hedging
Financial applications of other theories (91G80) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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