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arXiv · 1607.08556

Reduction and reconstruction of stochastic differential equations via symmetries

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

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Francesco C. De Vecchi, Paola Morando, Stefania Ugolini. 2016-07-28. Reduction and reconstruction of stochastic differential equations via symmetries. https://doi.org/10.1063/1.4973197

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