Symmetries of stochastic differential equations using Girsanov transformations
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Publication:5061292
DOI10.1088/1751-8121/ab757dOpenAlexW2963739805MaRDI QIDQ5061292
Stefania Ugolini, Paola Morando, Francesco C. De Vecchi
Publication date: 12 January 2023
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.10332
stochastic differential equationsKolmogorov equationLie symmetry analysisGirsanov transformationsDoob h-transforms
Related Items (6)
White noise space analysis and multiplicative change of measures ⋮ Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations ⋮ Null controllability of Hilfer fractional stochastic integrodifferential equations with noninstantaneous impulsive and Poisson jump ⋮ On the integration of Ito equations with a random or a W-symmetry ⋮ Random transformations and invariance of semimartingales on Lie groups ⋮ Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
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