Lie group symmetries as integral transforms of fundamental solutions

DOI10.1016/J.JDE.2006.07.011zbMATH Open1147.35009OpenAlexW1988374875MaRDI QIDQ863389FDOQ863389

Authors: Mark Craddock, Kelly A. Lennox 

Publication date: 26 January 2007

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

Full work available at URL: http://hdl.handle.net/10453/3401

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zbMATH Keywords

transition densitiesshort rate modelszero-coupon bond pricing

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) Laplace transform (44A10) Invariance and symmetry properties for PDEs on manifolds (58J70) Stochastic models in economics (91B70) Fundamental solutions to PDEs (35A08) Transform methods (e.g., integral transforms) applied to PDEs (35A22)

Cites Work

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• Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups
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• Symmetries and differential equations
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• Symmetry group methods for fundamental solutions
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• Spectral transform for the sub-Laplacian on the Heisenberg group

Cited In (46)

• Lie symmetry methods for local volatility models
• Symmetry groups and fundamental solutions for systems of parabolic equations
• Title not available (Why is that?)
• The Schrödinger propagator on \((0,\infty)\) for a special potential by a Lie symmetry group method
• Absence of nontrivial symmetries to the heat equation in Goursat groups of dimension at least 4
• New solvable stochastic volatility models for pricing volatility derivatives
• Fundamental solutions, transition densities and the integration of Lie symmetries
• An algorithmic method for showing existence of nontrivial non-classical symmetries of partial differential equations without solving determining equations
• Fundamental solution in classical elasticity via Lie group method
• Lie symmetry analysis and exact solutions of the Sawada-Kotera equation
• Equivalence and symmetries for variable coefficient linear heat type equations. II: Fundamental solutions
• Fourier type transforms on Lie symmetry groups
• Lie symmetry reductions and exact solutions to a generalized two-component Hunter-Saxton system
• Multiple invariant solutions of the \(3D\) potential Yu-Toda-Sasa-Fukuyama equation via symmetry technique
• Title not available (Why is that?)
• Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance
• The Pilgerschritt transform in solvable Lie groups
• Exact simulation of the 3/2 model
• A generalized isospectral-nonisospectral heat equation hierarchy and its expanding integrable model
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Lie symmetry analysis and exact explicit solutions for general Burgers' equation
• Lie symmetry analysis and exact solutions for the short pulse equation
• Lie group classifications and exact solutions for two variable-coefficient equations
• Fundamental solutions and conservation laws for conformable time fractional partial differential equation
• Symmetry group methods for fundamental solutions
• A scheme for generating nonisospectral integrable hierarchies and its related applications
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• Coverings and nonlocal symmetries as well as fundamental solutions of nonlinear equations derived from the nonisospectral AKNS hierarchy
• Algorithmic framework for group analysis of differential equations and its application to generalized Zakharov-Kuznetsov equations
• Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
• Lie symmetry reductions and exact solutions to the Rosenau equation
• Symmetry reductions and exact solutions to the Sharma-Tasso-Olever equation
• Lie symmetry analysis and exact explicit solutions of three-dimensional Kudryashov-Sinelshchikov equation
• New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes
• Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
• Symmetry analysis and group-invariant solutions to inhomogeneous nonlinear diffusion equation
• 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
• New symmetries, group-invariant solutions, linear differential constraints of a generalized Burgers-KdV equation and its reduction
• Symmetry analysis and exact solutions of acoustic equation
• Hodograph Transformations and Cauchy Problem to Systems of Nonlinear Parabolic Equations
• Painlevé analysis and analytic solutions to the Riccati types of equations
• An elementary symmetry-based derivation of the heat kernel on Heisenberg group
• Symmetries of stochastic differential equations using Girsanov transformations
• Lie group symmetries and Riemann function of Klein-Gordon-Fock equation with central symmetry

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