Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model (Q2977927): Difference between revisions

@@ Property / describes a project that uses @@
+SPDE
@@ Property / describes a project that uses: SPDE / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1002/mma.4060
@@ Property / full work available at URL: https://doi.org/10.1002/mma.4060 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2470962121
@@ Property / OpenAlex ID: W2470962121 / rank @@
+Normal rank
@@ Property / cites work @@
+Lie symmetry analysis of differential equations in finance
+Normal rank
@@ Property / cites work @@
+Invariance properties of a general bond-pricing equation
+Normal rank
@@ Property / cites work @@
+Symmetries of first‐order stochastic ordinary differential equations revisited
+Normal rank
@@ Property / cites work @@
+Fundamental solutions for zero-coupon bond pricing models
+Normal rank
@@ Property / cites work @@
+New solutions to the bond-pricing equation via Lie's classical method
+Normal rank
@@ Property / cites work @@
+Lie symmetry reductions and exact solutions of an option-pricing equation for large agents
+Normal rank
@@ Property / cites work @@
+Lie theory: Applications to problems in mathematical finance and economics
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption decisions under the constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
+Normal rank
@@ Property / cites work @@
+An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
+Normal rank
@@ Property / cites work @@
+CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
+Normal rank
@@ Property / cites work @@
+Singular invariant equation for the (1<b>+</b>1) Fokker–Planck equation
+Normal rank
@@ Property / cites work @@
+Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
+Normal rank
@@ Property / cites work @@
+Q5682681
@@ Property / cites work: Q5682681 / rank @@
+Normal rank
@@ Property / cites work @@
+Symmetries of Differential Equations: From Sophus Lie to Computer Algebra
+Normal rank