Aiming at enlarging the class of symmetries of a stochastic differential equation (SDE), we introduce a family of stochastic transformations able to change also the underlying probability measure exploiting Girsanov theorem and we provide new determining equations for the infinitesimal symmetries of the SDE. The well-defined subset of the previous class of measure transformations given by Doob transformations allows us to recover all the Lie point symmetries of the Kolmogorov equation associated with the SDE. This gives the first stochastic interpretation of all the deterministic symmetries of the Kolmogorov equation. The general theory is applied to some relevant stochastic models.
Symmetries of stochastic differential equations using Girsanov transformations
De Vecchi F. C.;
2020-01-01
Abstract
Aiming at enlarging the class of symmetries of a stochastic differential equation (SDE), we introduce a family of stochastic transformations able to change also the underlying probability measure exploiting Girsanov theorem and we provide new determining equations for the infinitesimal symmetries of the SDE. The well-defined subset of the previous class of measure transformations given by Doob transformations allows us to recover all the Lie point symmetries of the Kolmogorov equation associated with the SDE. This gives the first stochastic interpretation of all the deterministic symmetries of the Kolmogorov equation. The general theory is applied to some relevant stochastic models.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
