A note on symmetries of diffusions within a martingale problem approach
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Abstract: A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective definition of Lie symmetries for diffusion processes.
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Cited in
(12)- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
- The symmetry of diffusions and the circulations of their projection processes
- Density symmetries for a class of 2-D diffusions with applications to finance
- Geometric and symmetry properties of a nondegenerate diffusion process
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- Integration by parts formulas and Lie symmetries of SDEs
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