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arXiv · 1512.05215

Symmetries of Stochastic Differential Equations: a geometric approach

Francesco C. De Vecchi·Paola Morando·Stefania Ugolini
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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.

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Francesco C. De Vecchi, Paola Morando, Stefania Ugolini. 2015-12-16. Symmetries of Stochastic Differential Equations: a geometric approach. https://doi.org/10.1063/1.4953374

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