Symmetries of first‐order stochastic ordinary differential equations revisited

DOI10.1002/MMA.942MaRDI QIDQ5437555zbMATH OpenOpenAlexFDO

Authors E. Fredericks, F. M. Mahomed

Publication date 21 January 2008

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.942

zbMATH Keywords

invariantsstationary processessymmetries

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Symmetries, invariants of ordinary differential equations (34C14) Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65)

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Cites work

• Functional Integration and Partial Differential Equations. (AM-109)
• Integration of stochastic ordinary differential equations from a symmetry standpoint

Cited in

(13)

• 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
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• W-symmetries of jump-diffusion Itô stochastic differential equations
• Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
• A note on symmetries of diffusions within a martingale problem approach
• A new set of admitted transformations for autonomous stochastic ordinary differential equations
• Symmetries of \(n\)th-order approximate stochastic ordinary differential equations
• Symmetry of stochastic non-variational differential equations
• Symmetries of stochastic differential equations using Girsanov transformations
• Lie point symmetries of Stratonovich stochastic differential equations
• Random Lie symmetries of Itô stochastic differential equations
• On symmetries of the Fokker-Planck equation

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