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Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions

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Author Info

  • Mark Craddock

    (Department of Mathematical Sciences, University of Technology, Sydney)

  • Kelly A. Lennox

    (Department of Mathematical Sciences, University of Technology, Sydney)

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    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.

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    File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp274.pdf
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    Bibliographic Info

    Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 274.

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    Length: 36
    Date of creation: 01 Mar 2010
    Date of revision:
    Handle: RePEc:uts:rpaper:274

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    Keywords: Lie symmetry groups; fundamental solutions; transition densities; representation theory;

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