Fundamental solutions to Kolmogorov equations via reduction to canonical form

DOI10.1155/JAMDS/2006/19181zbMath1156.60050MaRDI QIDQ955495

Joanna M. Goard

Publication date: 20 November 2008

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/129658

zbMATH Keywords

exact solutionsapplications in financebackward Kolmogorov equationsstochastic ODEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (8)

Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions ⋮ Hodograph Transformations and Cauchy Problem to Systems of Nonlinear Parabolic Equations ⋮ On the equivalence of Lie symmetries and group representations ⋮ Stochastic Models for Oil Prices and the Pricing of Futures on Oil ⋮ Fundamental solutions, transition densities and the integration of Lie symmetries ⋮ Analytic approximation formulae for European crack spread options ⋮ Symmetry groups and fundamental solutions for systems of parabolic equations

Cites Work

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• On the Transformation of Diffusion Processes into the Wiener Process
• Comparison of the performance of a time‐dependent short‐interest rate model with time‐independent models
• Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions

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