On the Transformation of Diffusion Processes into the Wiener Process

Diffusion processes (60J60) Geometric theory, characteristics, transformations in context of PDEs (35A30) Second-order parabolic equations (35K10) Invariance and symmetry properties for PDEs on manifolds (58J70)

Cited In (35)

Lie symmetry methods for local volatility models
Lie symmetries methods in boundary crossing problems for diffusion processes
Exact Time Dependent Solutions to (1+1) Fokker-Planck Equation via Linearizing Transformations to the Ito Equations
On the similarity solutions for the free Kramer equation. I
On form-preserving transformations for the time-dependent Schrödinger equation
Solution and asymptotic/blow-up behaviour of a class of nonlinear dissipative systems
Generating integrable one dimensional driftless diffusions
A note on the distribution of multivariate Brownian extrema
Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes
On the first hitting time density for a reducible diffusion process
OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS
Extended symmetry analysis of remarkable (1+2)-dimensional Fokker–Planck equation
Mapping method of group classification
Option pricing with Weyl–Titchmarsh theory
How symmetries yield non-invertible mappings of linear partial differential equations
On the equivalence of Lie symmetries and group representations
Discrete ordinate solution of a Fokker-Planck equation in laser physics
Ibragimov-type invariants for a system of two linear parabolic equations
Analysis of reflected diffusions via an exponential time-based transformation
Resonance Broadening Theory of Farley-Buneman Turbulence in the Auroral E-Region
Lie symmetries of some equations of the Fokker–Planck type
On the construction of a special class of time-inhomogeneous diffusion processes
Nonlocal Extensions of Similarity Methods
Nonlocal transformations of Kolmogorov equations into the backward heat equation
A copula-based method to build diffusion models with prescribed marginal and serial dependence
Conservation laws and potential symmetries of linear parabolic equations
Symmetry-based algorithms to relate partial differential equations: I. Local symmetries
Equivalence and symmetries for variable coefficient linear heat type equations. I
Fundamental solutions to Kolmogorov equations via reduction to canonical form
The equivalence problem for the heat equation
Gaussian decay of harmonic oscillators and related models
Continuous symmetries of three-dimensional diffusion equations
Three dimensional distribution of Brownian motion extrema
Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
Crossing probabilities for diffusion processes with piecewise continuous boundaries

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