Symmetries of stochastic differential equations: A geometric approach

DOI10.1063/1.4953374zbMath1382.60081arXiv1512.05215OpenAlexW2259153217WikidataQ115333167 ScholiaQ115333167MaRDI QIDQ3178331

Francesco C. De Vecchi, Stefania Ugolini, Paola Morando

Publication date: 11 July 2016

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

Full work available at URL: https://arxiv.org/abs/1512.05215

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Lie (super)algebras to physics, etc. (17B81) Lie algebras of Lie groups (22E60) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (13)

Symmetry of stochastic non-variational differential equations ⋮ 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 ⋮ Reduction and reconstruction of stochastic differential equations via symmetries ⋮ On the integration of Ito equations with a random or a W-symmetry ⋮ W-symmetries of Ito stochastic differential equations ⋮ A note on symmetries of diffusions within a martingale problem approach ⋮ Random transformations and invariance of semimartingales on Lie groups ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations ⋮ Rough homogenisation with fractional dynamics ⋮ Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries

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