Some weak self-adjoint Hamilton–Jacobi–Bellman equations arising in financial mathematics

In Gandarias (2011) [12] one of the present authors has introduced the concept of weak self-adjoint equations. This definition generalizes the concept of self-adjoint and quasi self-adjoint equations that were introduced by Ibragimov (2006) [11]. In this paper we find a class of weak self-adjoint Hamilton–Jacobi–Bellman equations which are neither self-adjoint nor quasi self-adjoint. By using a general theorem on conservation laws proved in Ibragimov (2007) [9] and the new concept of weak self-adjointness (Gandarias, 2011) [12] we find conservation laws for some of these partial differential equations.