Data di Pubblicazione:
2016
Citazione:
Symmetries of stochastic differential equations : a geometric approach / F.C. De Vecchi, P. Morando, S. Ugolini. - In: JOURNAL OF MATHEMATICAL PHYSICS. - ISSN 0022-2488. - 57:6(2016 Jun 10), pp. 063504.1-063504.17. [10.1063/1.4953374]
Abstract:
A new notion of stochastic transformation is proposed and applied to the study of both
weak and strong symmetries of stochastic differential equations (SDEs). The correspondence
between an algebra of weak symmetries for a given SDE and an algebra
of strong symmetries for a modified SDE is proved under suitable regularity assumptions.
This general approach is applied to a stochastic version of a two dimensional
symmetric ordinary differential equation and to the case of two dimensional Brownian
motion.
Tipologia IRIS:
01 - Articolo su periodico
Elenco autori:
F.C. De Vecchi, P. Morando, S. Ugolini
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