Lie group symmetries as integral transforms of fundamental solutions

被引:53
作者
Craddock, Mark [1 ]
Lennox, Kelly A. [1 ]
机构
[1] Univ Technol Sydney, Dept Math Sci, Sydney, NSW 2007, Australia
关键词
Lie symmetry groups; fundamental solutions; transition densities; short rate models; zero coupon bond pricing;
D O I
10.1016/j.jde.2006.07.011
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We obtain fundamental solutions for PDEs of the form u(t) = sigma x(gamma)u(xx) + f(x)u(x) - mu x(r)u by showing that if the symmetry group of the PDE is nontrivial, it contains a standard integral transform of the fundamental solution. We show that in this case, the problem of finding a fundamental solution can be reduced to inverting a Laplace transform or some other classical transform. (c) 2006 Elsevier Inc. All rights reserved.
引用
收藏
页码:652 / 674
页数:23
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