Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions

Publication Type:
Journal Article
Citation:
Journal of Differential Equations, 2012, 252 (1), pp. 56 - 90
Issue Date:
2012-01-01
Filename Description Size
Thumbnail2012001382OK.pdf357.47 kB
Adobe PDF
Full metadata record
In this paper we introduce new methods based upon integrating Lie symmetries for the construction of explicit fundamental solutions of multi-dimensional second order parabolic PDEs. We present applications to the problem of finding transition probability densities for multi-dimensional diffusions and to representation theory. Many explicit examples are given to illustrate the techniques. © 2011 Elsevier Inc.
Please use this identifier to cite or link to this item: