Symmetries of Kolmogorov backward equation
Mathematical Physics
2020-11-02 v1 math.MP
Probability
Abstract
The note provides the relation between symmetries and first integrals of It\^{o} stochastic differential equations and symmetries of the associated Kolmogorov backward equation. Relation between the symmetries of the Kolmogorov backward equation and the symmetries of the Kolmogorov forward equation is also given.
Keywords
Cite
@article{arxiv.2010.16128,
title = {Symmetries of Kolmogorov backward equation},
author = {Roman Kozlov},
journal= {arXiv preprint arXiv:2010.16128},
year = {2020}
}