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arXiv · 1707.00128

A note on symmetries of diffusions within a martingale problem approach

Francesco C. De Vecchi·Paola Morando·Stefania Ugolini
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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 Ito integration on manifolds, allows us to give a natural and effective definition of Lie symmetries for diffusion processes.

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Francesco C. De Vecchi, Paola Morando, Stefania Ugolini. 2017-07-01. A note on symmetries of diffusions within a martingale problem approach. https://doi.org/10.1142/s0219493719500114

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