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

DOI10.1016/J.CRMA.2014.03.024MaRDI QIDQ460724zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1001696 (Why is no real title available?)
• scientific article; zbMATH DE number 2127971 (Why is no real title available?)
• Geometric Approach to Invariance Groups and Solution of Partial Differential Systems
• Path dependent options on yields in the affine term structure model
• Probabilistic deformation of contact geometry, diffusion processes and their quadratures
• Symmetries in the stochastic calculus of variations
• Symmetries of the Black-Scholes equation

Cited in

(2)

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

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