Journal of Nonlinear Mathematical Physics

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Volume 28, Issue 2, June 2021, Pages 182 - 193

Symmetries of Kolmogorov Backward Equation

Authors
Roman Kozlov*
Department of Finance and Management Science, Norwegian School of Economics, Helleveien 30, Bergen 5045, Norway
Corresponding Author
Roman Kozlov
Received 26 June 2020, Accepted 25 October 2020, Available Online 10 December 2020.
DOI
10.2991/jnmp.k.201104.002How to use a DOI?
Keywords
Lie symmetry analysis; stochastic differential equations; Kolmogorov backward equation
Abstract

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.

Copyright
© 2020 The Author. Published by Atlantis Press B.V.
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
28 - 2
Pages
182 - 193
Publication Date
2020/12/10
ISSN (Online)
1776-0852
ISSN (Print)
1402-9251
DOI
10.2991/jnmp.k.201104.002How to use a DOI?
Copyright
© 2020 The Author. Published by Atlantis Press B.V.
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

risenwbib
TY  - JOUR
AU  - Roman Kozlov
PY  - 2020
DA  - 2020/12/10
TI  - Symmetries of Kolmogorov Backward Equation
JO  - Journal of Nonlinear Mathematical Physics
SP  - 182
EP  - 193
VL  - 28
IS  - 2
SN  - 1776-0852
UR  - https://doi.org/10.2991/jnmp.k.201104.002
DO  - 10.2991/jnmp.k.201104.002
ID  - Kozlov2020
ER  -