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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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Bibliographic Details
Published in:Nonlinear dynamics 2017-12, Vol.90 (4), p.2869-2877
Main Authors: Nass, Aminu M., Fredericks, E.
Format: Article
Language:English
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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.
ISSN:0924-090X
1573-269X
DOI:10.1007/s11071-017-3848-8