Lie infinitesimal conserved quantities for Itô stochastic ODEs (Q636099)

This papers considers conserved quantities in the context of Itô stochastic ordinary differential equations (SODE); in this context a conserved quantity should be understood as a function on phase space which is constant on \textit{each } sample path (rather than just statistically constant). Needless to say, the existence of such a function is a rather exceptional case. The authors trace back their subject to \textit{T. Misawa} [Il Nuovo Cimento B 113, 421--428 (1998)] and \textit{S. Albeverio} and \textit{S.-M. Fei} [J. Phys. A, Math. Gen. 28, No. 22, 6363--6371 (1995; Zbl 0877.60044)] in the Stratonovich formalism, and to \textit{G. Ünal} [Nonlinear Dyn. 32, No. 4, 417--426 (2003; Zbl 1031.37044)] in the Itô formalism. The authors use some of their previous work [J. Phys. A, Math. Gen. 32, No. 49, 8721--8730 (1999; Zbl 0945.35006); J. Phys. A, Math. Gen. 34, No. 1, 177--192 (2001; Zbl 0982.60050); Math. Methods Appl. Sci. 30, No. 16, 2013--2025 (2007; Zbl 1139.60322)] to recover the results by G. Ünal, and then focus on conserved quantities in the sense mentioned above, and on relations between symmetries of the SODE under study and of the associated Fokker-Planck (FP) equation; as for the latter, they prove that only projectable vector fields arise as symmetry generators of the FP, and argue that only such symmetries of the SODE are relevant for the study of conserved quantities. Based on this, and on an analysis of the relation between symmetry generators and generators for the drift and diffusion of the process defined by the SODE, the authors improve some previous results by themselves and by others, and derive new ways of constructing conserved quantities. As an example, they consider the two-dimensional SODE \[ d X_1 (t) \;= \;- (1/2) \, X_1 \, d t \;- \;X_2 \, d W (t), \] \[ d X_2 (t) \;= \;- (1/2) \, X_2 \, d t \;+ \;X_1 \, d W (t), \] where \(d W (t)\) is a scalar Wiener process. They obtain conserved quantities for this system (which would look simpler if written in polar coordinates) based on each of the proposed two methods.