A new approach to the group analysis of one-dimensional stochastic differential equations

DOI10.1134/S0021894414020011zbMATH Open1398.60075MaRDI QIDQ461799FDOQ461799

Authors: M. A. Abdullin, Sergey V. Meleshko, F. S. Nasyrov 

Publication date: 14 October 2014

Published in: Journal of Applied Mechanics and Technical Physics (Search for Journal in Brave)

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zbMATH Keywords

symmetrystochastic differential equationsgroup analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

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• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Symmetries of integro-differential equations. With applications in mechanics and plasma physics
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• Approximate symmetries and conservation laws for Itô and Stratonovich dynamical systems
• On the definition of an admitted Lie group for stochastic differential equations
• Symmetries and conserved quantities of stochastic dynamical control systems
• Group analysis of the Itô stochastic system
• Integration of stochastic ordinary differential equations from a symmetry standpoint
• A new set of admitted transformations for autonomous stochastic ordinary differential equations
• On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion
• A remark on symmetry of stochastic dynamical systems and their conserved quantities
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• New conserved quantities derived from symmetry for stochastic dynamical systems
• Lie-point symmetries and stochastic differential equations

Cited In (6)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Application of group analysis to stochastic equations of fluid dynamics
• Existence, uniqueness and continuous dependence of solutions to conformable stochastic differential equations
• The comparative analysis of groups admitted by Itô's stochastic equation and the corresponding direct Kolmogorov equation
• Stability of solutions of Caputo fractional stochastic differential equations

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