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W-symmetries of jump-diffusion Itô stochastic differential equations
In this article, we discuss Lie point symmetry of stochastic differential equations driven by Wiener and Poisson processes. The symmetry is obtained by considering infinitesimals involving not only spatial and temporal variables but also that of vector Wiener process variable W ( t ). This work lead...
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Published in: | Nonlinear dynamics 2017-12, Vol.90 (4), p.2869-2877 |
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Main Authors: | , |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that this one cites Items that cite this one |
Online Access: | Get full text |
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Summary: | In this article, we discuss Lie point symmetry of stochastic differential equations driven by Wiener and Poisson processes. The symmetry is obtained by considering infinitesimals involving not only spatial and temporal variables but also that of vector Wiener process variable
W
(
t
). This work leads to the derivation of the random time-change formula of Itô Brownian motion in Lie transformation context. |
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ISSN: | 0924-090X 1573-269X |
DOI: | 10.1007/s11071-017-3848-8 |