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Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions

Author

Listed:
  • Mark Craddock

    (Department of Mathematical Sciences, University of Technology Sydney)

  • Kelly A. Lennox

    (Department of Mathematical Sciences, 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.

Suggested Citation

  • Mark Craddock & Kelly A. Lennox, 2010. "Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions," Research Paper Series 274, Quantitative Finance Research Centre, University of Technology, Sydney.
    • Handle: RePEc:uts:rpaper:274
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    File URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp274.pdf
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    Cited by:

    1. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Jan Baldeaux & Eckhard Platen, 2015. "Credit Derivative Evaluation and CVA Under the Benchmark Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 305-331, September.
    3. Jan Baldeaux & Alexander Badran, 2014. "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
    4. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
    5. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.

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