Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries

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

zbMATH Keywords

stochastic differential equationsGirsanov transformDoob's h-transformintegration by quadraturesLie's symmetry analysis

Mathematics Subject Classification ID

Quantum theory (81-XX) Statistical mechanics, structure of matter (82-XX)

Related Items (4)

Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations ⋮ On the integration of Ito equations with a random or a W-symmetry ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations ⋮ Bernstein processes, isovectors and mechanics

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