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

DOI10.1002/mma.4060zbMath1372.35121MaRDI QIDQ2977927

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Publication date: 20 April 2017

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.4060

zbMATH Keywords

fundamental solutions; Cauchy problem; Lie symmetry; CEV model; investment-consumption problem; invariant approach

Mathematics Subject Classification ID

35K05: Heat equation

35C05: Solutions to PDEs in closed form

35B06: Symmetries, invariants, etc. in context of PDEs

Uses Software

• SPDE