Symmetries of the backward heat equation with potential and interest rate models

DOI10.1016/J.CRMA.2014.03.024zbMATH Open1302.35022OpenAlexW1980850564MaRDI QIDQ460724FDOQ460724

Authors: Paul Lescot, Hélène Quintard 

Publication date: 14 October 2014

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2014.03.024

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationisovector algebra

Mathematics Subject Classification ID

Symmetries, invariants, etc. in context of PDEs (35B06) Hamilton-Jacobi equations (35F21) Ill-posed problems for PDEs (35R25)

Cites Work

• Path dependent options on yields in the affine term structure model
• Geometric Approach to Invariance Groups and Solution of Partial Differential Systems
• Symmetries in the stochastic calculus of variations
• Symmetries of the Black-Scholes equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Probabilistic deformation of contact geometry, diffusion processes and their quadratures

Cited In (2)

• Bernstein processes, isovectors and mechanics
• Two computations concerning the isovectors of the backward heat equation with quadratic potential

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