Symmetries of stochastic differential equations: a geometric approach

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

Authors Francesco C. De Vecchi, Paola Morando, Stefania Ugolini 

Publication date 11 July 2016

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

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)

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.

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Cited In (23)

• W-symmetries of backward stochastic differential equations, preservation of simple symmetries and Kozlov's theory
• Title not available (Why is no real title available?)
• Rough homogenisation with fractional dynamics
• On the integration of Ito equations with a random or a W-symmetry
• Entropy chaos and Bose-Einstein condensation
• Symmetry of the isotropic Ornstein-Uhlenbeck process in a force field
• Symmetry of stochastic ordinary differential equations
• Recent advances in symmetry of stochastic differential equations
• Random transformations and invariance of semimartingales on Lie groups
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Random symplectic geometry and the realizations of the random representations of the Navier-Stokes equations by ordinary differential equations
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• Reduction and reconstruction of stochastic differential equations via symmetries
• Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations
• A note on symmetries of diffusions within a martingale problem approach
• W-symmetries of Ito stochastic differential equations
• Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
• A new set of admitted transformations for autonomous stochastic ordinary differential equations
• Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25--29, 2019
• Symmetries of stochastic differential equations using Girsanov transformations
• Symmetry of stochastic non-variational differential equations
• Symmetries of first‐order stochastic ordinary differential equations revisited
• Symplectic structure for Gaussian diffusions

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