Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
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Cites work
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- Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
- Geometric Numerical Integration
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Invariant diffusion processes under Lie group actions
- Invariant Markov Processes Under Lie Group Actions
- Lie group symmetries as integral transforms of fundamental solutions
- Lie point symmetries of Stratonovich stochastic differential equations
- Nonequilibrium Markov processes conditioned on large deviations
- Probabilistic deformation of contact geometry, diffusion processes and their quadratures
- Random Lie symmetries of Itô stochastic differential equations
- Random Lie-point symmetries of stochastic differential equations
- Random transformations and invariance of semimartingales on Lie groups
- Reduction and reconstruction of stochastic differential equations via symmetries
- REDUCTION, RECONSTRUCTION, AND SKEW-PRODUCT DECOMPOSITION OF SYMMETRIC STOCHASTIC DIFFERENTIAL EQUATIONS
- Stochastic differential equations. An introduction with applications.
- Superposition rules and stochastic Lie-Scheffers systems
- Symmetries and differential equations
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- Symmetries of stochastic differential equations using Girsanov transformations
- Symmetries of stochastic differential equations: a geometric approach
- Symmetries of systems of stochastic differential equations with diffusion matrices of full rank
- Symmetry group methods for fundamental solutions
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Cited in
(11)- Some recent developments on Lie symmetry analysis of stochastic differential equations
- Bernstein processes, isovectors and mechanics
- Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations
- Reduction and reconstruction of stochastic differential equations via symmetries
- REDUCTION, RECONSTRUCTION, AND SKEW-PRODUCT DECOMPOSITION OF SYMMETRIC STOCHASTIC DIFFERENTIAL EQUATIONS
- Symmetries of stochastic differential equations using Girsanov transformations
- On the integration of Ito equations with a random or a W-symmetry
- Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noise
- Symmetry of the isotropic Ornstein-Uhlenbeck process in a force field
- Random rotational invariance of integration by parts formulas within a Bismut-type approach
- Integration by parts formulas and Lie symmetries of SDEs
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