Symmetries of Kolmogorov Backward Equation
- https://doi.org/10.2991/jnmp.k.201104.002How to use a DOI?
- Lie symmetry analysis, stochastic differential equations, Kolmogorov backward equation
The note provides the relation between symmetries and first integrals of Itô stochastic differential equations and symmetries of the associated Kolmogorov Backward Equation (KBE). Relation between the symmetries of the KBE and the symmetries of the Kolmogorov forward equation is also given.
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- This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - JOUR AU - Roman Kozlov PY - 2020 DA - 2020/12 TI - Symmetries of Kolmogorov Backward Equation JO - Journal of Nonlinear Mathematical Physics SN - 1776-0852 UR - https://doi.org/10.2991/jnmp.k.201104.002 DO - https://doi.org/10.2991/jnmp.k.201104.002 ID - Kozlov2020 ER -