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The Global ETD Search service is a free service for researchers
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Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 1 to 2 of 2 (0.059 seconds)Spelling suggestions: "subject:"papanicolaou model"" "subject:"g.papanicolaou model""
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Study of the group properties of the Sircar-Papanicolaou model in case of a nonlinear utility functionPetrova, Liudmila, Ivkina, Liubov January 2009 (has links)
<p>In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effect of dynamic hedging strategies of pro-gramme traders. Using the Lie group analysis we describe the symmetrygroup of the main equation of the concerned model. We reduce this par-tial differential equation to the ordinary differential equations by usingcorresponding invariants of the subgroups of the main symmetry group.</p>
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| 2 |
Study of the group properties of the Sircar-Papanicolaou model in case of a nonlinear utility functionPetrova, Liudmila, Ivkina, Liubov January 2009 (has links)
In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effect of dynamic hedging strategies of pro-gramme traders. Using the Lie group analysis we describe the symmetrygroup of the main equation of the concerned model. We reduce this par-tial differential equation to the ordinary differential equations by usingcorresponding invariants of the subgroups of the main symmetry group.
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