Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
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Publication:5877093
DOI10.1088/1751-8121/abef7fOpenAlexW3164487052MaRDI QIDQ5877093
Stefania Ugolini, Francesco C. De Vecchi, Paola Morando
Publication date: 3 February 2023
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.08986
stochastic differential equationsGirsanov transformDoob's h-transformintegration by quadraturesLie's symmetry analysis
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