Craddock, Mark; Lennox, Kelly A. Lie group symmetries as integral transforms of fundamental solutions. (English) Zbl 1147.35009 J. Differ. Equations 232, No. 2, 652-674 (2007). There are several interesting aspects to this paper and the choice of the most interesting could be very much a matter of the ‘eye of the beholder’. The main part of this paper is the computation of fundamental solutions for a class of \(1+1\) linear evolution partial differential equations possessing a sufficiently large symmetry algebra, namely \(\{\text{sl}(2, \mathbb R)\oplus A_1\}\bigoplus_s \infty A_1\), where the infinite-dimensional subalgebra is composed of the solution symmetries. The class of equations arises in financial mathematics in the modelling of bond pricing with a general drift function and a specific form for the volatility. The coefficient functions in the \(\text{sl}(2, \mathbb R)\) subalgebra are found from the solution of one of three possible Riccati equations in which the drift function and volatility play major roles. The authors show that, if the action of the exponentiated vector field on a solution \(u(t, x)\) gives \(\sigma(t, x;\varepsilon)u(a_1(t, x; \varepsilon), a_2 (t, x; \varepsilon))\), where \(\varepsilon\) is the parameter of the transformation, then the so-called multiplier, \(\sigma\), (maybe slightly modified) is always a classical integral transform of the fundamental solution of the partial differential equation. For example in the case of the heat equation the transform is the Laplace transform. This is certainly a very curious result and one hopes that the authors pursue their suggested investigation of the connection.The authors claim that their approach has many benefits. For example it obviates the need for changes of variables or the solution of an ordinary differential equation. On the other hand it does require obtaining the inverse transform and this does not seem to be a completely transparent task.The attraction of the paper is marred by a number of misprints. It is unfortunate that the Journal of Differential Equations does not have a competent copy editor. One becomes more than a little irked at the umpteenth misspelling of Riccati! Reviewer: Peter Leach (Karlovassi) Cited in 2 ReviewsCited in 35 Documents MSC: 35A08 Fundamental solutions to PDEs 35A22 Transform methods (e.g., integral transforms) applied to PDEs 44A10 Laplace transform 91B70 Stochastic models in economics 58J70 Invariance and symmetry properties for PDEs on manifolds 35A30 Geometric theory, characteristics, transformations in context of PDEs Keywords:transition densities; short rate models; zero-coupon bond pricing PDF BibTeX XML Cite \textit{M. Craddock} and \textit{K. A. Lennox}, J. Differ. Equations 232, No. 2, 652--674 (2007; Zbl 1147.35009) Full Text: DOI Link OpenURL References: [1] Abramowitz, M.; Stegun, I., Handbook of mathematical functions, with formulas, graphs and mathematical tables, (1972), Dover New York · Zbl 0543.33001 [2] Bluman, G.; Kumei, S., Symmetries and differential equations, (1989), Springer Berlin · Zbl 0698.35001 [3] Brychkov, Y.A.; Prudnikov, A.P., Integral transforms of generalized functions, (1989), Gordon and Breach London · Zbl 0729.46016 [4] Craddock, M.; Platen, E., Symmetry group methods for fundamental solutions, J. differential equations, 207, 285-302, (2004) · Zbl 1065.35016 [5] Gaveau, B., Principe de moindre action, propagation de la chaleur, et estimées sous-elliptiques sur certains groupes nilpotents, Acta math., 139, 95-153, (1977) · Zbl 0366.22010 [6] Jorgensen, P.; Klink, W., Spectral transform for the sub-Laplacian on the Heisenberg group, J. anal. math., 50, 1, 101-121, (1988) · Zbl 0656.43006 [7] Joshi, M.S., The concepts and practice of mathematical finance, (2003), Cambridge Univ. Press Cambridge · Zbl 1052.91001 [8] Kilbas, A.A.; Saigo, M., H-transforms. theory and applications, Anal. methods spec. funct., vol. 9, (2004), Chapman & Hall/CRC Press · Zbl 1056.44001 [9] K.A. Lennox, Symmetry analysis for the bond pricing equation, Honours thesis, Department of Mathematical Sciences, University of Technology, Sydney, November 2004 [10] Olver, P.J., Applications of Lie groups to differential equations, Grad. texts in math., vol. 107, (1993), Springer New York · Zbl 0785.58003 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.