Symmetries of first‐order stochastic ordinary differential equations revisited
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Publication:5437555
DOI10.1002/mma.942zbMath1139.60322OpenAlexW2065403101MaRDI QIDQ5437555
Publication date: 21 January 2008
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.942
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Symmetries, invariants of ordinary differential equations (34C14) Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65)
Related Items (13)
Symmetry of stochastic non-variational differential equations ⋮ A New Set of Admitted Transformations for Autonomous Stochastic Ordinary Differential Equations ⋮ Symmetries of stochastic differential equations using Girsanov transformations ⋮ \(W\)-symmetries of jump-diffusion Itô stochastic differential equations ⋮ Lie point symmetries of autonomous scalar first-order Itô stochastic delay ordinary differential equations ⋮ Symmetries of \(n\)th-order approximate stochastic ordinary differential equations ⋮ Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model ⋮ A note on symmetries of diffusions within a martingale problem approach ⋮ 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 ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations
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