Symmetries of stochastic differential equations: A geometric approach

DOI10.1063/1.4953374zbMATH Open1382.60081arXiv1512.05215OpenAlexW2259153217WikidataQ115333167 ScholiaQ115333167MaRDI QIDQ3178331FDOQ3178331

Francesco C. De Vecchi, Stefania Ugolini, Paola Morando

Publication date: 11 July 2016

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Abstract: A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an algebra of strong symmetries for a modified SDE is proved under suitable regularity assumptions. This general approach is applied to a stochastic version of a two dimensional symmetric ordinary differential equation and to the case of two dimensional Brownian motion.

Full work available at URL: https://arxiv.org/abs/1512.05215

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Lie (super)algebras to physics, etc. (17B81) Lie algebras of Lie groups (22E60) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (17)

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• Rough homogenisation with fractional dynamics
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• Symmetry of stochastic non-variational differential equations
• Symplectic structure for Gaussian diffusions

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