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arXiv · 2307.05089

Integration by parts formulas and Lie's symmetries of SDEs

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

A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie's symmetry theory to autonomous stochastic differential equations. The main stochastic, geometrical and analytical aspects of the theory are discussed and applications to some Brownian motion driven stochastic models are provided.

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Francesco C. De Vecchi, Paola Morando, Stefania Ugolini. 2023-07-11. Integration by parts formulas and Lie's symmetries of SDEs. https://arxiv.org/abs/2307.05089

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