Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions

Mark Craddock and Kelly A. Lennox
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Mark Craddock: Department of Mathematical Sciences, University of Technology Sydney
Kelly A. Lennox: Department of Mathematical Sciences, University of Technology Sydney

No 274, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: 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.

Keywords: Lie symmetry groups; fundamental solutions; transition densities; representation theory (search for similar items in EconPapers)
Pages: 36 pages
Date: 2010-03-01
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:274

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