Symmetry Group Methods for Fundamental Solutions and Characteristic Functions
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
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- Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2001.
"A Minimal Financial Market Model,"
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48, Quantitative Finance Research Centre, University of Technology, Sydney.
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