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Symmetry reductions of a Hamilton-Jacobi-Bellman equation arising in financial mathematics
Date
2005-05-01
Author
Naicker, V
Andriopoulos, K
Leach, PGL
Metadata
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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 applicability of the method to cases in which the parametric function depends also upon the time.
Subject Keywords
Mathematical Physics
,
Statistical and Nonlinear Physics
URI
https://hdl.handle.net/11511/66495
Journal
JOURNAL OF NONLINEAR MATHEMATICAL PHYSICS
DOI
https://doi.org/10.2991/jnmp.2005.12.2.8
Collections
Department of Physics, Article
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V. Naicker, K. Andriopoulos, and P. Leach, “Symmetry reductions of a Hamilton-Jacobi-Bellman equation arising in financial mathematics,”
JOURNAL OF NONLINEAR MATHEMATICAL PHYSICS
, pp. 268–283, 2005, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/66495.