The Calculation Of Expectations For Classes Of Diffusion Processes By Lie Symmetry Methods

Inst Mathematical Statistics
Publication Type:
Journal Article
Annals Of Applied Probability, 2009, 19 (1), pp. 127 - 157
Issue Date:
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This paper uses Lie symmetry methods to calculate certain expectations for a large class of Ito diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form E-x(e(-lambda Xt-f0tg(Xs)ds)) can be reduced to evaluating a single integral of known functions. Given a drift f we determine the functions g for which the corresponding functional can be calculated by symmetry. Conversely, given g, we can determine precisely those drifts f for which the transition density and the functional may be computed by symmetry. Many examples are presented to illustrate the method.
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