scientific article; zbMATH DE number 6436484

zbMath1339.60069MaRDI QIDQ5250200

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 18 May 2015

Full work available at URL: http://www.ijpam.eu/en/index.php/ijdea/article/view/1737/144

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic differential equationsdiffusion processestransition densitiesCEV processCIR processLie symmetry groupspricing equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Lie groups (22E99) Lie algebras and Lie superalgebras (17B99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Lie symmetry methods for local volatility models ⋮ Reduction and reconstruction of stochastic differential equations via symmetries

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