It is known that knowledge of a symmetry of a scalar Ito stochastic differential equations leads, thanks to the Kozlov substitution, to its integration. In the present paper we provide a classification of scalar autonomous Ito stochastic differential equations with simple noise possessing symmetries; here ``simple noise'' means the noise coefficient is of the form $\s (x,t) = s x^k$, with $s$ and $k$ real constants. Such equations can be taken to a standard form via a well known transformation; for such standard forms we also provide the integration of the symmetric equations. Our work extends previous classifications in that it also considers recently introduced types of symmetries, in particular standard random symmetries, not considered in those.

Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noise / G. Gaeta, M. Angel Rodriguez. - In: OPEN COMMUNICATIONS IN NONLINEAR MATHEMATICAL PHYSICS. - 2:(2022), pp. ocnmp:9770.53-ocnmp:9770.101. [10.46298/ocnmp.9770]

Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noise

G. Gaeta
Co-primo
;
2022

Abstract

It is known that knowledge of a symmetry of a scalar Ito stochastic differential equations leads, thanks to the Kozlov substitution, to its integration. In the present paper we provide a classification of scalar autonomous Ito stochastic differential equations with simple noise possessing symmetries; here ``simple noise'' means the noise coefficient is of the form $\s (x,t) = s x^k$, with $s$ and $k$ real constants. Such equations can be taken to a standard form via a well known transformation; for such standard forms we also provide the integration of the symmetric equations. Our work extends previous classifications in that it also considers recently introduced types of symmetries, in particular standard random symmetries, not considered in those.
English
Symmetry; stochastic equations
Settore MAT/07 - Fisica Matematica
Articolo
Esperti anonimi
Ricerca di base
Pubblicazione scientifica
2022
Episciences
2
ocnmp:9770
53
101
49
Pubblicato
Periodico con rilevanza internazionale
manual
Aderisco
info:eu-repo/semantics/article
Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noise / G. Gaeta, M. Angel Rodriguez. - In: OPEN COMMUNICATIONS IN NONLINEAR MATHEMATICAL PHYSICS. - 2:(2022), pp. ocnmp:9770.53-ocnmp:9770.101. [10.46298/ocnmp.9770]
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262
Article (author)
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G. Gaeta, M. Angel Rodriguez
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/939246
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