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dc.contributor.authorCharalambous, Kyriakosen
dc.contributor.authorSophocleous, Christodoulosen
dc.contributor.authorO'Hara, John G.en
dc.contributor.authorLeach, Peter G. L.en
dc.creatorCharalambous, Kyriakosen
dc.creatorSophocleous, Christodoulosen
dc.creatorO'Hara, John G.en
dc.creatorLeach, Peter G. L.en
dc.description.abstractIn a fairly recent paper (2008 American Control Conference, June 11-13, 1035-1039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent nonlinear evolution partial differential equation was based upon a succession of Ansätze, which can lead to a solution of the terminal-value problem. Through an application of the Lie Theory of Continuous Groups to this equation, we show that the Ansätze are based upon the underlying symmetries of the equation (their (14)). We solve the problem in a more general context by allowing the parameters to be explicitly time dependent. The extension means thatmore realistic problems are amenable to the samemode of solution. Copyright © 2014 John Wiley & Sons, Ltd.en
dc.sourceMathematical Methods in the Applied Sciencesen
dc.subjectProblem solvingen
dc.subjectDifferential equationsen
dc.subjectStochastic control systemsen
dc.subjectStochastic systemsen
dc.subjectPartial differential equationsen
dc.subjectNonlinear equationsen
dc.subjectLie symmetriesen
dc.subjectevolution partial differential equationsen
dc.subjectfinancial mathematicsen
dc.subjectLie groupsen
dc.subjectstochastic controlen
dc.subjectSubclass 35K05 60H05 91G80en
dc.titleA deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parametersen
dc.description.endingpage4460Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied SciencesΤμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.source.abbreviationMath.Methods Appl.Sci.en
dc.contributor.orcidSophocleous, Christodoulos [0000-0001-8021-3548]

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