Symmetry Group Methods for Fundamental Solutions and Characteristic Functions

Mark Craddock and Eckhard Platen ()
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Mark Craddock: Department of Mathematics, University of Technology, Sydney

Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper uses Lie symmetry group methods to analyse a class of partial differential equations of he form It is shown that when the drift function f is a solution of a family of Ricatti equations, then symmetry techniques can be used to find the characteristic functions and transition densities of the corresponding diffusion processes.Keywords: lie symmetry groups; green's functions; fundamental solutions; characteristic functions; transition densities; symmetry techniques

Pages: 33 pages
Date: 2003-02-01
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Citations: View citations in EconPapers (3)

Published as: Craddock, M. and Platen, E., 2004, "Symmetry Group Methods for Fundamental Solutions", Journal of Differential Equations, 207(2), 285-302.

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Working Paper: Symmetry group methods for fundamental solutions (2004)
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