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

UTSePress Research/Manakin Repository

Search UTSePress Research


Advanced Search

Browse

My Account

Show simple item record

dc.contributor.author Craddock, Mark en_US
dc.contributor.author Lennox, Kelly en_US
dc.contributor.editor en_US
dc.date.accessioned 2010-05-28T09:42:19Z
dc.date.available 2010-05-28T09:42:19Z
dc.date.issued 2009 en_US
dc.identifier 2008007880 en_US
dc.identifier.citation Craddock Mark and Lennox Kelly 2009, 'The Calculation Of Expectations For Classes Of Diffusion Processes By Lie Symmetry Methods', Inst Mathematical Statistics, vol. 19, no. 1, pp. 127-157. en_US
dc.identifier.issn 1050-5164 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/8295
dc.description.abstract 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. en_US
dc.language en_US
dc.publisher Inst Mathematical Statistics en_US
dc.relation.isbasedon http://dx.doi.org/10.1214/08-AAP534 en_US
dc.title The Calculation Of Expectations For Classes Of Diffusion Processes By Lie Symmetry Methods en_US
dc.parent Annals Of Applied Probability en_US
dc.journal.volume 19 en_US
dc.journal.number 1 en_US
dc.publocation Cleveland en_US
dc.identifier.startpage 127 en_US
dc.identifier.endpage 157 en_US
dc.cauo.name FEIT.School of Systems, Management and Leadership en_US
dc.conference Verified OK en_US
dc.for 010404 en_US
dc.personcode 980626 en_US
dc.personcode 044231 en_US
dc.percentage 100 en_US
dc.classification.name Probability Theory en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity ISI:000264247900006 en_US
dc.description.keywords Lie symmetry groups; fundamental solutions; diffusion processes; transition densities; expectations and functionals en_US
dc.staffid en_US
dc.staffid 044231 en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record