arXiv subjects
Publications and source records attributed to Susanna Dehò.
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by parts formula developed in the same research area.
The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect of the rotational invariance of the driving Brownian motion in the derivation of the integration by parts formula is discussed and the invariance property of the formula is shown via applications to some explicit two-dimensional Brownian motion-driven stochastic models.