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

zbMATH Open1158.60358MaRDI QIDQ3606312FDOQ3606312

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

Publication date: 26 February 2009

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• scientific article; zbMATH DE number 6611191

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)

Cited In (6)

• Lie symmetries and certain equations of financial mathematics
• Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance
• Group classification of a class of equations arising in financial mathematics
• Algebraic structure of vector fields in financial diffusion models and its applications
• Title not available (Why is that?)
• 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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