On Lie-point symmetries for Ito stochastic differential equations

DOI10.1080/14029251.2017.1418056zbMATH Open1420.60068arXiv1711.01999OpenAlexW2964260308WikidataQ115295497 ScholiaQ115295497MaRDI QIDQ5231102FDOQ5231102

Authors: Giuseppe Gaeta, Claudia Lunini 

Publication date: 29 August 2019

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

Abstract: In the deterministic realm, both differential equations and symmetry generators are geometrical objects, and behave properly under changes of coordinates; actually this property is essential to make symmetry analysis independent of the choice of coordinates and applicable. When trying to extend symmetry analysis to stochastic (Ito) differential equations, we are faced with a problem inherent to their very nature: they are not geometrical object, and they behave in their own way (synthesized by the Ito formula) under changes of coordinates. Thus it is not obvious that symmetries are preserved under a change of coordinates. We will study when this is the case, and when it is not; the conclusion is that this is always the case for so called emph{simple} symmetries. We will also note that Kozlov theory relating symmetry and integrability for stochastic differential equations is confirmed by our considerations and results, as symmetries of the type relevant in it are indeed of the type preserved under coordinate changes.

Full work available at URL: https://arxiv.org/abs/1711.01999

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Symmetries, invariants of ordinary differential equations (34C14) Ordinary differential equations and systems with randomness (34F05)

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Cited In (21)

• W-symmetries of backward stochastic differential equations, preservation of simple symmetries and Kozlov's theory
• On the integration of Ito equations with a random or a W-symmetry
• Symmetry of the isotropic Ornstein-Uhlenbeck process in a force field
• Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noise
• Integrable Ito equations and properties of the associated Fokker-Planck equations
• Integrable autonomous scalar Ito equations with multiple noise sources
• Recent advances in symmetry of stochastic differential equations
• Dynamical behavior of the SEIARM-COVID-19 related models
• Erratum: “Random Lie-point symmetries of stochastic differential equations” [J. Math. Phys. 58, 053503 (2017)]
• Lie point symmetries of autonomous scalar first-order Itô stochastic delay ordinary differential equations
• Lie symmetry reductions and integrability of approximated small delay stochastic differential equations
• Symmetry and integrability for stochastic differential equations
• Symmetry classification of scalar Ito equations with multiplicative noise
• Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations
• W-symmetries of Ito stochastic differential equations
• Integration of the stochastic logistic equation via symmetry analysis
• Symmetries of stochastic differential equations using Girsanov transformations
• Symmetry of stochastic non-variational differential equations
• On exact integrability of a Covid-19 model: SIRV
• Lie point symmetries of Stratonovich stochastic differential equations
• Random Lie symmetries of Itô stochastic differential equations

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