Derivation of Lie groups for some higher order stochastic differential equations

MaRDI QIDQ5120541zbMATH OpenFDO

Authors Sasikarn Sakulrang, Surattana Sungnul, Boonlert Srihirun, Elvin J. Moore

Publication date 15 September 2020

Full work available at URL http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3170

admitted Lie group generators determining equations Lie groups stochastic differential equations symmetry analysis

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic analysis applied to problems in fluid mechanics (76M35) Symmetry analysis, Lie group and Lie algebra methods applied to problems in fluid mechanics (76M60)

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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
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Integration of stochastic ordinary differential equations from a symmetry standpoint
Lie-point symmetries and stochastic differential equations
New conserved quantities derived from symmetry for stochastic dynamical systems
Numerical Methods for Second‐Order Stochastic Differential Equations
On the definition of an admitted Lie group for stochastic differential equations
On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion
Stochastic differential equations in science and engineering. With CD-ROM.
Symmetries and conserved quantities of stochastic dynamical control systems
Symmetries of Itô and Stratonovich dynamical systems and their conserved quantities
Symmetry of scalar second-order stochastic ordinary differential equations
Symmetry of stochastic equations

Cited in

(8)

Stochastic Lie bracket (derivation, derivation) in MB-algebras
On the definition of an admitted Lie group for stochastic differential equations
On maximal Lie point symmetry groups admitted by scalar stochastic differential equations
Some solvable stochastic differential games in \(\mathrm{SU}(3)\)
On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion
STOCHASTIC EQUATIONS AND QUASI-INVARIANCE ON INFINITE PRODUCT GROUPS
Stochastic geodesics and forward-backward stochastic differential equations on Lie groups
On Lie Group Classification of a Scalar Stochastic Differential Equation

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