Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics

Journal of Nonlinear Mathematical Physics - Tập 12 Số 2 - Trang 268
V. Naicker1, K. Andriopoulos2, P. G. L. Leach3
1School of Mathematical Sciences , Howard College, University of KwaZulu-Natal , 4041 , Durban , Republic of South Africa E-mail: [email protected]
2Department of Mathematics , National and Capodistrian University of Athens Panepistimioupolis , 15771 , Ilisia , Athens , Greece E-mail: [email protected]
3Department of Physics , Middle East Technical University , 06531 , Ankara , Turkey E-mail: [email protected] [email protected]

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Tài liệu tham khảo

Bluman GW Kumei S Symmetries and Differential Equations. Applied Mathmatical Sciences 81, Springer-Verlag, New York, 1989

Burghes D Graham A Introduction to Control Theory including Optimal Control. Ellis Horwood, New York, 1980

Jouini Elyès Cvitanić Jajusa Musiela Murek Option Pricing, Interest Rates and Risk Management. CUP, Cambridge, 2001

Kushner HJ Introduction to Stochastic Control. Holt, New York, 1971

Neftci SN An Introduction to the.Mathematics of Financial Derivatives. 2nd ed, Academic Press, New York, 2000

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Journal of Nonlinear Mathematical Physics

Tập 12 Số 2

268

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