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pro vyhledávání: '"Lennox, Kelly A."'
Autor:
Craddock, Mark, Lennox, Kelly A.
Publikováno v:
Annals of Applied Probability 2009, Vol. 19, No. 1, 127-157
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 $E_x(e^{-\lambda X_t-\int_0^tg(
Externí odkaz:
http://arxiv.org/abs/0902.4806
Autor:
Craddock, Mark, Lennox, Kelly A.
Publikováno v:
In Journal of Differential Equations 2012 252(1):56-90
Autor:
Craddock, Mark, Lennox, Kelly A.
Publikováno v:
In Journal of Differential Equations 2007 232(2):652-674