Integration by parts formulas and Lie's symmetries of SDEs

Integration by parts formulas and Lie's symmetries of SDEs

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 an...

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Hauptverfasser: De Vecchi, Francesco C, Morando, Paola, Ugolini, Stefania
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics - Mathematical Physics
Mathematics - Probability
Physics - Mathematical Physics
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Beschreibung
Zusammenfassung: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.
DOI:10.48550/arxiv.2307.05089