相关论文: Symmetries of Kolmogorov backward equation
We discuss the interrelations between symmetry of an Ito stochastic differential equations (or systems thereof) and its integrability, extending in party results by R. Kozlov [J. Phys. A ${\bf 43}$ (2010) \& ${\bf 44}$ (2011)]. Together…
We discuss some recent advances concerning the symmetry of stochastic differential equations, and in particular the interrelations between these and the integrability -- complete or partial -- of the equations.
Following the usual definition of $\lambda$-symmetries of differential equations, we introduce the analogous concept for difference equations and apply it to some examples.
Aiming at enlarging the class of symmetries of an SDE, we introduce a family of stochastic transformations able to change also the underlying probability measure exploiting Girsanov Theorem and we provide new determining equations for the…
The different natures of approximate symmetries and their corresponding first integrals/invariants are delineated in the contexts of both Lie symmetries of ordinary differential equations and Noether symmetries of the Action Integral.…
In this paper we consider the relation between symmetries and first integrals for both continuous canonical Hamiltonian equations and discrete Hamiltonian equations. We observe that canonical Hamiltonian equations can be obtained by…
We present here the explicit parametric solutions of second order differential equations invariant under time translation and rescaling and third order differential equations invariant under time translation and the two homogeneity…
Symmetry methods are by now recognized as one of the main tools to attack deterministic differential equations (both ODEs and PDEs); the situation is quite different for what concerns stochastic differential equations: here, symmetry…
We obtain Calder{\'o}n-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous coefficients. We then derive the well-posedness of the martingale problem associated to related degenerate operators, and therefore…
The connection between symmetries and linearizations of discrete-time dynamical systems is being inverstigated. It is shown, that existence of semigroup structures related to the vector field and having linear representations enables…
In this article we present the stochastic first integrals (SFI), the generalized It\^o-Wentzell formula and its application for obtaining the equations for SFI, for kernel functions for integral invariants and the Kolmogorov equations,…
In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…
In this article the authors present stochastic first integrals (SFI), the generalized It\^o-Wentzell formula and its application for obtaining the equations for SFI, for kernel functions for integral invariants and the Kolmogorov equations,…
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic…
The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov…
We define fully coupled forward-backward stochastic differential equations on spaces related to continuous time, finite state Markov Chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential…
In backward error analysis, an approximate solution to an equation is compared to the exact solution to a nearby modified equation. In numerical ordinary differential equations, the two agree up to any power of the step size. If the…
Every topological space has a Kolmogorov quotient that is obtained by identifying topologically indistinguishable points, that is, points that are contained in exactly the same open sets. In this survey, we look at the relationship between…
The scalar difference equation $x_{n+1}=f_{n}(x_{n},x_{n-1},...,x_{n-k})$ may exhibit symmetries in its form that allow for reduction of order through substitution or a change of variables. Such form symmetries can be defined generally…
This paper investigates a time-dependent multidimensional stochastic differential equation with drift being a distribution in a suitable class of Sobolev spaces with negative derivation order. This is done through a careful analysis of the…