Generating integrable one dimensional driftless diffusions

DOI10.1016/J.CRMA.2006.05.025MaRDI QIDQ857067zbMATH OpenOpenAlexFDO

Authors Peter Carr, Peter Laurence, Tai-Ho Wang

Publication date 14 December 2006

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2006.05.025

zbMATH Keywords

time and state dependent diffusions

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Diffusion processes and stochastic analysis on manifolds (58J65)

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Cites work

• A jump to default extended CEV model: an application of Bessel processes
• A theory of the term structure of interest rates
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• Generalised symmetries of Fokker-Planck-type equations
• scientific article; zbMATH DE number 478435 (Why is no real title available?)
• On the Transformation of Diffusion Processes into the Wiener Process
• Symmetry classification and exact solutions of the one-dimensional Fokker-Planck equation with arbitrary coefficients of drift and diffusion
• Two singular diffusion problems

Cited in

(2)

• Lie symmetry methods for local volatility models
• Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

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