Reduction and reconstruction of stochastic differential equations via symmetries

DOI10.1063/1.4973197zbMath1432.60061arXiv1607.08556OpenAlexW2493904647MaRDI QIDQ2951770

Paola Morando, Francesco C. De Vecchi, Stefania Ugolini

Publication date: 9 January 2017

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.08556

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Related Items (12)

EXACT INERTIAL MANIFOLDS FOR DYNAMICAL SYSTEMS ⋮ Symmetries of stochastic differential equations using Girsanov transformations ⋮ Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations ⋮ Entropy chaos and Bose-Einstein condensation ⋮ Weak symmetries of stochastic differential equations driven by semimartingales with jumps ⋮ Lie point symmetries of autonomous scalar first-order Itô stochastic delay ordinary differential equations ⋮ On the integration of Ito equations with a random or a W-symmetry ⋮ A note on symmetries of diffusions within a martingale problem approach ⋮ Symmetry and integrability for stochastic differential equations ⋮ Random transformations and invariance of semimartingales on Lie groups ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations ⋮ Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries

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