Some weak self-adjoint Hamilton-Jacobi-Bellman equations arising in financial mathematics

DOI10.1016/J.NONRWA.2011.07.041zbMath1238.35048OpenAlexW2039886368MaRDI QIDQ420052

M. Redondo, Maria de los Santos Bruzon Gallego, Maria Luz Gandarias

Publication date: 20 May 2012

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2011.07.041

zbMATH Keywords

symmetriespartial differential equationsself-adjointnessconservations laws

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Quasilinear parabolic equations (35K59)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Local symmetries and conservation laws
• A new conservation theorem
• Conservation laws for the Black-Scholes equation
• Weak self-adjoint differential equations
• The Lie Algebra sl(2, R) and so-called Kepler-Ermakov Systems
• Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
• The nonlinear differential equation 𝑦”+𝑝(𝑥)𝑦+𝑐𝑦⁻³=0

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