A note on symmetries of diffusions within a martingale problem approach
Probability
2020-08-04 v1 Differential Geometry
Abstract
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective definition of Lie symmetries for diffusion processes.
Cite
@article{arxiv.1707.00128,
title = {A note on symmetries of diffusions within a martingale problem approach},
author = {Francesco C. De Vecchi and Paola Morando and Stefania Ugolini},
journal= {arXiv preprint arXiv:1707.00128},
year = {2020}
}