Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions

DOI10.1016/J.JDE.2011.09.024zbMATH Open1242.35008OpenAlexW2087880544MaRDI QIDQ649747FDOQ649747

Authors: Mark Craddock, Kelly A. Lennox 

Publication date: 6 December 2011

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2011.09.024

Recommendations

• Fundamental solutions, transition densities and the integration of Lie symmetries
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• Lie symmetries methods in boundary crossing problems for diffusion processes

zbMATH Keywords

transition densitiesrepresentation theoryFourier transforms

Mathematics Subject Classification ID

Symmetries, invariants, etc. in context of PDEs (35B06) Second-order parabolic equations (35K10) Fundamental solutions to PDEs (35A08)

Cites Work

• NIST handbook of mathematical functions
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• An introduction to partial differential equations
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• Symmetries and differential equations
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• The calculation of expectations for classes of diffusion processes by Lie symmetry methods
• Lie group symmetries as integral transforms of fundamental solutions
• Fundamental solutions, transition densities and the integration of Lie symmetries
• Title not available (Why is that?)
• On the equivalence of Lie symmetries and group representations
• Sturm and Liouville's work on ordinary linear differential equations. The emergence of Sturm-Liouville theory
• Symmetries of the Fokker-Planck equation with a constant diffusion matrix in 2 + 1 dimensions
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• The symmetry groups of linear partial differential equations and representation theory. I
• Symmetry groups of partial differential equations, separation of variables, and direct integral theory
• Spectral asymptotics for Sturm-Liouville equations with indefinite weight
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• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions
• Fundamental solutions to Kolmogorov equations via reduction to canonical form

Cited In (16)

• Lie symmetry methods for local volatility models
• Fourier type transforms on Lie symmetry groups
• Lie symmetry analysis, exact solutions and conservation laws for the time fractional modified Zakharov–Kuznetsov equation
• Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance
• On the equivalence of Lie symmetries and group representations
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Reduction and reconstruction of stochastic differential equations via symmetries
• Symmetry properties and explicit solutions of the nonlinear time fractional KdV equation
• New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes
• Equivalence and symmetries for variable coefficient linear heat type equations. II. Fundamental solutions
• Equivalence and symmetries for variable coefficient linear heat type equations. I
• The calculation of expectations for classes of diffusion processes by Lie symmetry methods
• Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions
• Invariant analysis and exact solutions of nonlinear time fractional Sharma-Tasso-Olver equation by Lie group analysis
• Hodograph Transformations and Cauchy Problem to Systems of Nonlinear Parabolic Equations
• Title not available (Why is that?)

Uses Software

• Digital Library of Mathematical Functions

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