Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions

DOI10.1016/J.JDE.2011.09.024MaRDI QIDQ649747zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(17)

• Lie symmetry methods for local volatility models
• Lie symmetries methods in boundary crossing problems for diffusion processes
• Equivalence and symmetries for variable coefficient linear heat type equations. II: Fundamental solutions
• Fourier type transforms on Lie symmetry groups
• 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
• Lie symmetry analysis, exact solutions and conservation laws for the time fractional modified Zakharov-Kuznetsov equation
• New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes
• The calculation of expectations for classes of diffusion processes by Lie symmetry methods
• Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions
• Equivalence and symmetries for variable coefficient linear heat type equations. I
• Invariant analysis and exact solutions of nonlinear time fractional Sharma-Tasso-Olver equation by Lie group analysis
• scientific article; zbMATH DE number 1086547 (Why is no real title available?)
• Hodograph Transformations and Cauchy Problem to Systems of Nonlinear Parabolic Equations

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