Lie Symmetry Methods For Multi-dimensional Parabolic PDEs And Diffusions

Academic Press Inc Elsevier Science
Publication Type:
Journal Article
Journal of Differential Equations, 2012, 252 (1), pp. 56 - 90
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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
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