Algebraic solutions of some partial differential equations arising in financial mathematics and related areas

MaRDI QIDQ3606312zbMATH OpenFDO

Authors K. Andriopoulos, P. G. L. Leach

Publication date 26 February 2009

zbMATH Keywords

financial mathematicspartial differential equationsLie symmetries

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26) Initial value problems for second-order parabolic equations (35K15) Financial applications of other theories (91G80)

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• Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance
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• A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters

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