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
|Date of creation:||01 Feb 2003|
|Publication status:||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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- Platen, Eckhard, 2000.
"A minimal financial market model,"
SFB 373 Discussion Papers
2000,91, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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. Full references (including those not matched with items on IDEAS)
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