On Lie-point symmetries for Ito stochastic differential equations. (21st December 2017)

• Record Type: Journal Article
• Authors: Gaeta, G.; Lunini, C.
• Is Part Of: Journal of nonlinear mathematical physics. Volume 24(2017)Supplement 1
• Page Start: 90
• Page End: 102
• Publication Date: 2017-12-21
• Subjects: Nonlinear theories -- Periodicals; Mathematical physics -- Periodicals; 515.252
• DOI: 10.1080/14029251.2017.1418056
• Languages: English
• ISSNs: 1402-9251

Abstract

Abstract : In the deterministic realm, both differential equations and symmetry generators are geometrical objects, and behave properly under changes of coordinates; actually this property is essential to make symmetry analysis independent of the choice of coordinates and applicable. When trying to extend symmetry analysis to stochastic (Ito) differential equations, we are faced with a problem inherent to their very nature: they are not geometrical object, and they behave in their own way (synthesized by the Ito formula) under changes of coordinates. Thus it is not obvious that symmetries are preserved under a change of coordinates. We will study when this is the case, and when it is not; the conclusion is that this is always the case for so called simple symmetries. We will also note that Kozlov theory relating symmetry and integrability for stochastic differential equations is confirmed by our considerations and results, as symmetries of the type relevant in it are indeed of the type preserved under coordinate changes.