REDUKCIJA SIMETRIJA HAMILTON-JAKOBI-BELMANOVE JEDNAČINE
REDUCTION OF SYMMETRIES OF THE HAMILTON-JAKOBIBELMAN EQUATION

Summary/Abstract: We determine the solutions of the nonlinear Hamilton-Jacobi-Bellman equation that arises in the mean-variance hedging modeling under the condition of the terminal condition. First, we establish those forms of the equation that allow the maximum number of symmetries of the Lie point, and then we examine each one in turn. We show that Lie's method is suitable only for the maximal symmetry equation. We point out the applicability of the method to cases in which the parametric function also depends on time.

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