On symmetries of stochastic differential equations

DOI10.1016/j.cnsns.2012.05.019zbMath1263.35223OpenAlexW2085615404MaRDI QIDQ1948228

Yanyan Li

Publication date: 2 May 2013

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2012.05.019

zbMATH Keywords

stochastic differential equationsLie symmetry analysisFokker--Planck equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Symmetries, invariants, etc. in context of PDEs (35B06) Fokker-Planck equations (35Q84)

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Symmetries of stochastic differential equations using Girsanov transformations ⋮ Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations ⋮ Lie point symmetries of autonomous scalar first-order Itô stochastic delay ordinary differential equations ⋮ Symmetry of the stochastic Rayleigh equation and features of bubble dynamics near the Blake threshold ⋮ W-symmetries of backward stochastic differential equations, preservation of simple symmetries and Kozlov's theory ⋮ Lie point symmetries of Stratonovich stochastic differential equations ⋮ On symmetries of the Fokker-Planck equation ⋮ Random Lie symmetries of Itô stochastic differential equations ⋮ Lie symmetry reductions and integrability of approximated small delay stochastic differential equations ⋮ Lie symmetry analysis of the Lundgren–Monin–Novikov equations for multi-point probability density functions of turbulent flow

Cites Work

• Symmetries of Itô and Stratonovich dynamical systems and their conserved quantities
• Conserved quantities and symmetry for stochastic dynamical systems
• A remark on symmetry of stochastic dynamical systems and their conserved quantities
• New conserved quantities derived from symmetry for stochastic dynamical systems
• Lie-point symmetries and stochastic differential equations
• Stochastic differential equations. An introduction with applications.
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