Symmetry Analysis of the Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
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چکیده
منابع مشابه
Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
We determine the solutions of a nonlinear Hamilton-Jacobi-Bellman equation which arises in the modelling of mean-variance hedging subject to a terminal condition. Firstly we establish those forms of the equation which admit the maximal number of Lie point symmetries and then examine each in turn. We show that the Lie method is only suitable for an equation of maximal symmetry. We indicate the a...
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ژورنال
عنوان ژورنال: Proceedings
سال: 2018
ISSN: 2504-3900
DOI: 10.3390/proceedings2010008