A note on symmetries of diffusions within a martingale problem approach

Articolo

Data di Pubblicazione:

2019

Citazione:

A note on symmetries of diffusions within a martingale problem approach / F.C. DE VECCHI, P. Morando, S. Ugolini. - In: STOCHASTICS AND DYNAMICS. - ISSN 0219-4937. - 19:2(2019). [10.1142/S0219493719500114]

Abstract:

A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second-order geometry and Itô integration on manifolds, allows us to give a natural and effective definition of Lie symmetries for diffusion processes.

Tipologia IRIS:

01 - Articolo su periodico

Keywords:

Lie symmetries analysis; diffusion processes; second-order geometry; Ito integration on manifolds

Elenco autori: