Lie Group Methods for Stochastic Differential Equations
Ebrahim Fredericks
University of Cape Town So Africa
Co-Author(s): E Fredericks, F M Mahomed, A M Nass
Abstract:
Lie Symmetries of stochastic differential equations (SDEs) relate known SDEs and their solutions with new ones that arrive in modelling nature or application in industry. We will show how to derive these symmetries and compare them to their Fokker-Plank counterparts.