Giuseppe Gaeta ; Miguel Angel Rodriguez - Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noise

ocnmp:9770 - Open Communications in Nonlinear Mathematical Physics, September 29, 2022, Volume 2 - https://doi.org/10.46298/ocnmp.9770
Symmetry classification of scalar autonomous Ito stochastic differential equations with simple noiseArticle

Authors: Giuseppe Gaeta ; Miguel Angel Rodriguez

    It is known that knowledge of a symmetry of a scalar Ito stochastic differential equations leads, thanks to the Kozlov substitution, to its integration. In the present paper we provide a classification of scalar autonomous Ito stochastic differential equations with simple noise possessing symmetries; here "simple noise" means the noise coefficient is of the form $\s (x,t) = s x^k$, with $s$ and $k$ real constants. Such equations can be taken to a standard form via a well known transformation; for such standard forms we also provide the integration of the symmetric equations. Our work extends previous classifications in that it also consider recently introduced types of symmetries, in particular standard random symmetries, not considered in those.


    Volume: Volume 2
    Published on: September 29, 2022
    Accepted on: September 20, 2022
    Submitted on: July 7, 2022
    Keywords: Mathematical Physics,Mathematics - Probability

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