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title:
 
Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
publication:
 
JNMP
volume-issue:   12 - 2
pages:   268 - 283
ISSN:
  1402-9251
DOI:
  doi:10.2991/jnmp.2005.12.2.8 (how to use a DOI)
author(s):
 
V NAICKER, K ANDRIOPOULOS, PGL LEACH
publication date:
 
May 2005
abstract:
 
We determine the solutions of a nonlinear Hamilton-Jacobi-Bellman equation which arises in the modelling of mean-variance hedging subject to a terminal condition. Firstly we establish those forms of the equation which admit the maximal number of Lie point symmetries and then examine each in turn. We show that the Lie method is only suitable for an equation of maximal symmetry. We indicate the applicability of the method to cases in which the parametric function depends also upon the time.
copyright:
 
© The authors.
This article is distributed under the terms of the Creative Commons Attribution License 4.0, which permits non-commercial use, distribution and reproduction in any medium, provided the original work is properly cited. See for details: https://creativecommons.org/licenses/by-nc/4.0/
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