Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries

Autor:	De Vecchi, Francesco C., Morando, Paola, Ugolini, Stefania
Rok vydání:	2020
Předmět:	Mathematics - Probability Mathematical Physics 60H10 58D19
Druh dokumentu:	Working Paper
DOI:	10.1088/1751-8121/abef7f
Popis:	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 functionals of solution to the SDE and a reconstruction theorem for general stochastic symmetries is proved. Moreover, the notable case of reduction under the closed subclass of quasi Doob transformations is presented. The theoretical results are applied to stochastic models relevant in the applications. Comment: We have fixed an error in the proof of Proposition 24 (former Proposition 23) and corrected some typos
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2011.08986 Zobrazit plný text záznamu View this record from Arxiv