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
Year of publication: |
2003-02-01
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Authors: | Craddock, Mark ; Platen, Eckhard |
Institutions: | Finance Discipline Group, Business School |
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