Superposition rules and stochastic Lie-Scheffers systems
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Publication:985337
DOI10.1214/08-AIHP189zbMATH Open1196.60107OpenAlexW1965809564MaRDI QIDQ985337FDOQ985337
Authors: Joan-Andreu Lázaro-Camí, Juan-Pablo Ortega 
Publication date: 21 July 2010
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: This paper proves a version for stochastic differential equations of the Lie-Scheffers Theorem. This result characterizes the existence of nonlinear superposition rules for the general solution of those equations in terms of the involution properties of the distribution generated by the vector fields that define it. When stated in the particular case of standard deterministic systems, our main theorem improves various aspects of the classical Lie-Scheffers result. We show that the stochastic analog of the classical Lie-Scheffers systems can be reduced to the study of Lie group valued stochastic Lie-Scheffers systems; those systems, as well as those taking values in homogeneous spaces are studied in detail. The developments of the paper are illustrated with several examples.
Full work available at URL: https://arxiv.org/abs/0803.0600
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- On Lie systems and Kummer-Schwarz equations
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- Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
- Representation of Lie superalgebras and generalized boson-fermion equivalence in quantum stochastic calculus
- Symmetry of stochastic non-variational differential equations
- Stochastic variational principles for dissipative equations with advected quantities
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