The calculation of expectations for classes of diffusion processes by Lie symmetry methods
From MaRDI portal
Publication:1009482
DOI10.1214/08-AAP534zbMath1227.35028arXiv0902.4806MaRDI QIDQ1009482
Mark Craddock, Kelly A. Lennox
Publication date: 2 April 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0902.4806
Fundamental solutions to PDEs (35A08) PDEs with randomness, stochastic partial differential equations (35R60) Initial value problems for second-order parabolic equations (35K15) Solutions to PDEs in closed form (35C05) Stochastic analysis (60H99) Symmetries, invariants, etc. in context of PDEs (35B06)
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