Lie Symmetries Methods in Boundary Crossing Problems for Diffusion Processes
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DOI: 10.1007/s10440-020-00336-8
Abstract: This paper uses Lie symmetry methods to analyze boundary crossing probabilities for a large class of diffusion processes. We show that if the Fokker–Planck–Kolmogorov equation has non-trivial Lie symmetry, then the boundary crossing identity exists… read more here.
Keywords: lie symmetries; boundary crossing; symmetries methods; diffusion processes ... See more keywords