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arXiv · 1708.01764

Symmetries and invariance properties of stochastic differential equations driven by semimartingales with jumps

Sergio Albeverio·Francesco C. De Vecchi·Paola Morando·Stefania Ugolini
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Abstract

Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general c\`adl\`ag semimartingales taking values in Lie groups are defined and investigated. In order to enlarge the class of possible symmetries of SDEs, the new concepts of gauge and time symmetries for semimartingales on Lie groups are introduced. Markovian and non-Markovian examples of gauge and time symmetric processes are provided. The considered set of SDEs includes affine and Marcus type SDEs as well as smooth SDEs driven by L\'evy processes. Non trivial invariance results concerning a class of iterated random maps are obtained as special cases.

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Sergio Albeverio, Francesco C. De Vecchi, Paola Morando, Stefania Ugolini. 2017-08-05. Symmetries and invariance properties of stochastic differential equations driven by semimartingales with jumps. https://arxiv.org/abs/1708.01764

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