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|
|Contact details of provider:|| Postal: PO Box 123, Broadway, NSW 2007, Australia|
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.qfrc.uts.edu.au/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:90. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford)
If references are entirely missing, you can add them using this form.