Symmetries of Kolmogorov backward equation

2020/10/30 by Kozlov, Roman · 1 citation
#FOS: Mathematics #FOS: Physical sciences #Mathematical Physics (math-ph) #Probability (math.PR)

paper · doi:10.48550/arxiv.2010.16128

Abstract

The note provides the relation between symmetries and first integrals of Itô stochastic differential equations and symmetries of the associated Kolmogorov backward equation. Relation between the symmetries of the Kolmogorov backward equation and the symmetries of the Kolmogorov forward equation is also given.

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• Admitted symmetries of Backward Stochastic Differential Equations

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