Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · 2504.13094

Symmetry classification and invariant solutions of the classical geometric mean reversion process

Jin Zhang·Dapeng Gao
View original source ↗Read source document ↗Export metadata ↓

Abstract

Based on the Lie symmetry method, we investigate a Feynman-Kac formula for the classical geometric mean reversion process, which effectively describing the dynamics of short-term interest rates. The Lie algebra of infinitesimal symmetries and the corresponding one-parameter symmetry groups of the equation are obtained. An optimal system of invariant solutions are constructed by a derived optimal system of one-dimensional subalgebras. Because of taking into account a supply response to price rises, this equation provides for a more realistic assumption than the geometric Brownian motion in many investment scenarios.

Explore related subjects

math.DSmath.APmath.PRq-fin.MF

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Jin Zhang, Dapeng Gao. 2025-04-17. Symmetry classification and invariant solutions of the classical geometric mean reversion process. https://doi.org/10.3934/dcdss.2024202

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Pivoting technique for the circle homeomorphism group

We adapt Gou{ë}zel's pivoting technique to the circle homeomorphism group. As an application, we give different proofs of Gilabert Vio's probabilistic Tits alternative and Malicet's exponential synchronization.

math.DS↗
arXiv2026

Optimal rates of uniform convergence for weighted Birkhoff averages via almost all rotations

In this paper, we investigate weighted Birkhoff averages for toral translations associated with compactly supported weighting functions. By introducing several new analytical techniques, we establish optimal uniform convergence rates for almost all rotations and specific (or even all) initial points. Unlike the $\mathcal{O}(N^{-1})$ rate best achieved in classical ergodic theory, we show that these weighted averages exhibit polynomial or even exponential convergence. We establish the optimality of these convergence rates in multiple aspects, particularly concerning regularity indices across four distinct cases: finite differentiability, the $C^\infty$ class, logarithmic $C^\infty$ classes, and Gevrey classes. Our results demonstrate that the regularity of the observable essentially dictates the convergence rate; furthermore, we prove that no admissible choice of weighting function can, in general, overcome the lower bounds imposed by this regularity. In contrast to the generically slow convergence of standard time averages, this work provides an optimal and nearly complete characterization of rapid convergence for weighted Birkhoff averages.

math.DS↗
arXiv2026

Spectral theory of frame flows on closed hyperbolic manifolds

We prove a resolvent estimate for the generator of the frame flow on hyperbolic manifolds away from vertical lines of resonances. A byproduct of the proof is an optimal essential spectral gap property for the generator, hence giving another proof of exponential mixing of frame flows with respect to the volume measure of the frame bundle. This extends the result of [https://arxiv.org/abs/2005.08387v2] in dimension 3 to any dimension. We make extensive use of the Borel-Weil calculus developed in [https://arxiv.org/abs/2405.14846] to overcome difficulties of this higher-dimensional case.

math.DS↗