The calculation of expectations for classes of diffusion processes by Lie symmetry methods
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Publication:1009482
Symmetries, invariants, etc. in context of PDEs (35B06) Solutions to PDEs in closed form (35C05) Initial value problems for second-order parabolic equations (35K15) PDEs with randomness, stochastic partial differential equations (35R60) Fundamental solutions to PDEs (35A08) Stochastic analysis (60H99)
Abstract: This paper uses Lie symmetry methods to calculate certain expectations for a large class of It^{o} diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form can be reduced to evaluating a single integral of known functions. Given a drift we determine the functions for which the corresponding functional can be calculated by symmetry. Conversely, given , we can determine precisely those drifts 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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- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
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- Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
- Symmetries of stochastic differential equations using Girsanov transformations
- Equivalence and symmetries for variable coefficient linear heat type equations. II: Fundamental solutions
- Equivalence and symmetries for variable coefficient linear heat type equations. I
- Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
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- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
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- New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes
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- Calibration to FX triangles of the 4/2 model under the benchmark approach
- Large deviations for the squared radial Ornstein-Uhlenbeck process
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
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