Symmetries of Kolmogorov Backward Equation

JOURNAL OF NONLINEAR MATHEMATICAL PHYSICS（2021）

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摘要

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.

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关键词

Lie symmetry analysis,stochastic differential equations,Kolmogorov backward equation

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