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
Main Authors: Nass, Aminu M., Fredericks, E.
Format: Article
Language:English
Subjects:
Automotive Engineering
Brownian motion
Classical Mechanics
Control
Differential equations
Dynamical Systems
Engineering
Mathematical analysis
Mechanical Engineering
Original Paper
Process variables
Symmetry
Vibration
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description 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.
doi_str_mv 10.1007/s11071-017-3848-8
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subjects Automotive Engineering
Brownian motion
Classical Mechanics
Control
Differential equations
Dynamical Systems
Engineering
Mathematical analysis
Mechanical Engineering
Original Paper
Process variables
Symmetry
Vibration
title W-symmetries of jump-diffusion Itô stochastic differential equations
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