Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics (Q5314503)

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scientific article; zbMATH DE number 2202298
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Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
scientific article; zbMATH DE number 2202298

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    Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics (English)
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    5 September 2005
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    diffusion equation
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    Black-Scholes equation
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    Hamilton-Jacobi-Bellman equation
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    mean-variance hedging
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    Lie point symmetries
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