Data di Pubblicazione:
2016
Citazione:
Reduction and reconstruction of stochastic differential equations via symmetries / F.C. DE VECCHI, P. Morando, S. Ugolini. - In: JOURNAL OF MATHEMATICAL PHYSICS. - ISSN 0022-2488. - 57:12(2016 Dec). [10.1063/1.4973197]
Abstract:
An algorithmic method to exploit a general class of infinitesimal symmetries for reducing stochastic differential equations is presented, and a natural definition of reconstruction, inspired by the classical reconstruction by quadratures, is proposed. As a side result, the well-known solution formula for linear one-dimensional stochastic differential equations is obtained within this symmetry approach. The complete procedure is applied to several examples with both theoretical and applied relevance.
Tipologia IRIS:
01 - Articolo su periodico
Elenco autori:
F.C. DE VECCHI, P. Morando, S. Ugolini
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