Integration by parts formulas and Lie symmetries of SDEs
A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie symmetry theory to stochastic differential equations. The main stochastic, geometrical and analytical aspects of the theory are discussed and applications to some Brownian motion driven stochastic models are provided.
Authors
- Paola Morando (ORCID: https://orcid.org/0000-0002-1284-3932)
- Francesco C. De Vecchi (ORCID: https://orcid.org/0000-0002-7809-1534)
- Stefania Ugolini (ORCID: https://orcid.org/0000-0003-1322-5084)
Institutions
- Defense Information Systems Agency (US)
- University of Milan (IT)
- University of Pavia (IT)
Publication Details
- Journal
- Electronic Journal of Probability
- Published
- 2025-01-01
- DOI
- https://doi.org/10.1214/25-ejp1349
- Citations
- 1
- Primary Topic
- Nonlinear Waves and Solitons
- Type
- article
- Field-Weighted Citation Impact
- 1.32
Funders
- Istituto Nazionale di Alta Matematica "Francesco Severi"
- Deutscher Akademischer Austauschdienst
- Deutsche Forschungsgemeinschaft
- Università degli Studi di Pavia
- Gruppo Nazionale per l'Analisi Matematica, la Probabilità e le loro Applicazioni
- Gruppo Nazionale per la Fisica Matematica