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/).
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 -