Journal of Nonlinear Mathematical Physics

Volume 18, Issue Supplement 1, September 2011, Pages 177 - 187

On Lie Group Classification of a Scalar Stochastic Differential Equation

Authors
Roman Kozlov
Department of Finance and Management Science, Norwegian School of Economics and Business Administration, Helleveien 30, N-5045, Bergen, Norway,roman.kozlov@nhh.no
Received 18 August 2010, Accepted 9 November 2010, Available Online 7 January 2021.
DOI
10.1142/S1402925111001350How to use a DOI?
Keywords
Lie symmetry analysis; group classification; stochastic differential equations
Abstract

Lie point symmetry group classification of a scalar stochastic differential equation (SDE) with one-dimensional Brownian motion is presented. First we prove that the admitted symmetry group is at most three-dimensional. Then the classification is carried out with the help of Lie algebra realizations by vector fields.

Copyright
© 2011 The Authors. Published by Atlantis Press and Taylor & Francis
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

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Journal
Journal of Nonlinear Mathematical Physics
Volume-Issue
18 - Supplement 1
Pages
177 - 187
Publication Date
2021/01/07
ISSN (Online)
1776-0852
ISSN (Print)
1402-9251
DOI
10.1142/S1402925111001350How to use a DOI?
Copyright
© 2011 The Authors. Published by Atlantis Press and Taylor & Francis
Open Access
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  - 2021
DA  - 2021/01/07
TI  - On Lie Group Classification of a Scalar Stochastic Differential Equation
JO  - Journal of Nonlinear Mathematical Physics
SP  - 177
EP  - 187
VL  - 18
IS  - Supplement 1
SN  - 1776-0852
UR  - https://doi.org/10.1142/S1402925111001350
DO  - 10.1142/S1402925111001350
ID  - Kozlov2021
ER  -