Zobrazeno 1 - 10
of 107
pro vyhledávání: '"Morando, Paola"'
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's symmetry theory to autonomous stochastic differential equat
Externí odkaz:
http://arxiv.org/abs/2307.05089
A reduction procedure for stochastic differential equations based on stochastic symmetries including Girsanov random transformations is proposed. In this setting, a new notion of reconstruction is given, involving the expectation values of functional
Externí odkaz:
http://arxiv.org/abs/2011.08986
Publikováno v:
2020 J. Phys. A: Math. Theor. 53 135204
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 infinitesim
Externí odkaz:
http://arxiv.org/abs/1907.10332
Publikováno v:
Electron. J. Probab., Volume 25 (2020), paper no. 44, 34 pp
Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general cadlag semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen, includes a
Externí odkaz:
http://arxiv.org/abs/1904.10963
Invariance properties of semimartingales on Lie groups under a family of random transformations are defined and investigated, generalizing the random rotations of the Brownian motion. A necessary and sufficient explicit condition characterizing semim
Externí odkaz:
http://arxiv.org/abs/1812.11066
Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general c\`adl\`ag semimartingales taking values in Lie groups are defined and investigated. In order to enlarge the class of possible symmetries of SDEs, th
Externí odkaz:
http://arxiv.org/abs/1708.01764
Publikováno v:
Stochastics and Dynamics, Vol. 19, No. 02, 1950011 (2019)
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 L
Externí odkaz:
http://arxiv.org/abs/1707.00128
Publikováno v:
Journal of Mathematical Physics 57, 123508 (2016)
An algorithmic method to exploit a general class of infinitesimal symmetries for reducing stochastic differential equations is presented and a natural definition of reconstruction, inspired by the classical reconstruction by quadratures, is proposed.
Externí odkaz:
http://arxiv.org/abs/1607.08556
Publikováno v:
Journal of Geometry and Physics Volume 156, October 2020, 103771
The problem of computing differential constraints for a family of evolution PDEs is discussed from a constructive point of view. A new method, based on the existence of generalized characteristics for evolution vector fields, is proposed in order to
Externí odkaz:
http://arxiv.org/abs/1607.08014
Publikováno v:
Journal of Geometry and Physics Volume 124, January 2018, Pages 170-179
Solvable structures are exploited in order to find families of explicit solutions to evolution PDEs admitting suitable differential constraints. The effectiveness of the method is verified on several explicit examples.
Externí odkaz:
http://arxiv.org/abs/1605.03052