Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions

In this paper we introduce methods based upon Lie symmetry analysis for the construction of explicit fundamental solutions of multidimensional parabolic PDEs. We give applications to the problem of finding transition probability densities for multidimensional diffusions and to representation theory.

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Year of publication:	2010-03-01
Authors:	Craddock, Mark ; Lennox, Kelly A.
Institutions:	Finance Discipline Group, Business School
Subject:	Lie symmetry groups \| fundamental solutions \| transition densities \| representation theory

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 274 3 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008506971