On the definition of an admitted Lie group for stochastic differential equations

DOI10.1016/J.CNSNS.2006.02.001MaRDI QIDQ2373514zbMATH OpenOpenAlexWikidataFDO

Authors Boonlert Srihirun, Eckart Schulz, Sergey V. Meleshko

Publication date 11 July 2007

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2006.02.001

zbMATH Keywords

Lie group of transformationsrandom time changestochastic process

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65)

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Cites work

• A remark on symmetry of stochastic dynamical systems and their conserved quantities
• Approximate symmetries and conservation laws for Itô and Stratonovich dynamical systems
• Fundamental solutions for zero-coupon bond pricing models
• scientific article; zbMATH DE number 3762913 (Why is no real title available?)
• scientific article; zbMATH DE number 58980 (Why is no real title available?)
• scientific article; zbMATH DE number 1070899 (Why is no real title available?)
• Integration of stochastic ordinary differential equations from a symmetry standpoint
• Lie-point symmetries and stochastic differential equations
• Methods for constructing exact solutions of partial differential equations. Mathematical and analytical techniques with applications to engineering
• Stochastic differential equations. An introduction with applications.
• Symmetries and conserved quantities of stochastic dynamical control systems
• Symmetries of Itô and Stratonovich dynamical systems and their conserved quantities
• Symmetry of stochastic equations

Cited in

(23)

• W-symmetries of jump-diffusion Itô stochastic differential equations
• Symmetry analysis of the nonhomogeneous inviscid Burgers equation with delay
• Symmetry of stochastic non-variational differential equations
• Lie point symmetries of autonomous scalar first-order Itô stochastic delay ordinary differential equations
• Linearization of a second-order stochastic ordinary differential equation
• A new set of admitted transformations for autonomous stochastic ordinary differential equations
• Symmetries of stochastic differential equations: a geometric approach
• On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion
• scientific article; zbMATH DE number 3897892 (Why is no real title available?)
• A new approach to the group analysis of one-dimensional stochastic differential equations
• Lie point symmetries of Stratonovich stochastic differential equations
• Random Lie symmetries of Itô stochastic differential equations
• scientific article; zbMATH DE number 202505 (Why is no real title available?)
• Application of group analysis to stochastic equations of fluid dynamics
• Derivation of Lie groups for some higher order stochastic differential equations
• Random Lie-point symmetries
• On symmetries of the Fokker-Planck equation
• The group classification of a scalar stochastic differential equation
• A note on symmetries of diffusions within a martingale problem approach
• Symmetry of stochastic ordinary differential equations
• On Lie Group Classification of a Scalar Stochastic Differential Equation
• Stochastic bifurcations of group-invariant solutions for a generalized stochastic Zakharov-Kuznetsov equation
• Symmetry of the stochastic Rayleigh equation and features of bubble dynamics near the Blake threshold

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