2023/07/11 by Francesco C. De Vecchi, De Vecchi, Francesco C., Paola Morando +3
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Stochastic processes and financial applications #Financial Risk and Volatility Modeling
paper · pdf · doi:10.48550/arxiv.2307.05089
A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie's symmetry theory to autonomous stochastic differential equations. The main stochastic, geometrical and analytical aspects of the theory are discussed and applications to some Brownian motion driven stochastic models are provided.