Generating integrable one dimensional driftless diffusions

DOI10.1016/j.crma.2006.05.025zbMath1109.58034OpenAlexW2040934032MaRDI QIDQ857067

Tai-Ho Wang, Peter Carr, Peter Laurence

Publication date: 14 December 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2006.05.025

zbMATH Keywords

time and state dependent diffusions

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (2)

Lie symmetry methods for local volatility models ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

Cites Work

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• Symmetry classification and exact solutions of the one-dimensional Fokker-Planck equation with arbitrary coefficients of drift and diffusion
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS

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