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The Calculation Of Expectations For Classes Of Diffusion Processes By Lie Symmetry Methods

Craddock Mark; Lennox Kelly (Inst Mathematical Statistics, 2009)

This paper uses Lie symmetry methods to calculate certain expectations for a large class of Ito diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form ...
Fundamental solutions, transition densities and the integration of Lie symmetries

Craddock Mark (Academic Press Inc Elsevier Science, 2009)

In this paper we present some new applications of Lie symmetry analysis to problems in stochastic calculus. The major focus is on using Lie symmetries of parabolic PDEs to obtain fundamental solutions and transition ...

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