Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general càdlàg semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen, includes affine and Marcus type SDEs as well as smooth SDEs driven by Lévy processes and iterated random maps. A natural extension to this general setting of reduction and reconstruction theory for symmetric SDEs is provided. Our theorems imply as special cases non trivial invariance results concerning a class of affine iterated random maps as well as (weak) symmetries for numerical schemes (of Euler and Milstein type) for Brownian motion driven SDEs.

Weak symmetries of stochastic differential equations driven by semimartingales with jumps

De Vecchi F. C.;
2020-01-01

Abstract

Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general càdlàg semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen, includes affine and Marcus type SDEs as well as smooth SDEs driven by Lévy processes and iterated random maps. A natural extension to this general setting of reduction and reconstruction theory for symmetric SDEs is provided. Our theorems imply as special cases non trivial invariance results concerning a class of affine iterated random maps as well as (weak) symmetries for numerical schemes (of Euler and Milstein type) for Brownian motion driven SDEs.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/1486494
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