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arXiv · 1904.10963

Weak symmetries 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 cadlag semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen, includes affine and Marcus type SDEs as well as smooth SDEs driven by Levy processes and iterated random maps. A natural extension to this general setting of reduction and reconstruction theory for symmetric SDEs is provided. Our theorems imply as special cases non trivial invariance results concerning a class of affine iterated random maps as well as symmetries for numerical schemes (of Euler and Milstein type) for Brownian motion driven SDEs.

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Sergio Albeverio, Francesco C. De Vecchi, Paola Morando, Stefania Ugolini. 2019-04-24. Weak symmetries of stochastic differential equations driven by semimartingales with jumps. https://doi.org/10.1214/20-ejp440

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