69 citations · 335 across the 22 of their papers we have counts for
23 papers
Invariance properties of Brownian motion via Lie's symmetries
Susanna Dehò, Francesco C. De Vecchi, Paola Morando +1
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of t…
Integration by parts formulas and Lie's symmetries of SDEs
Francesco C. De Vecchi, Paola Morando, Stefania Ugolini
A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable applicatio…
Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
Francesco C. De Vecchi, Paola Morando, Stefania Ugolini
A reduction procedure for stochastic differential equations based on stochastic symmetries including Girsanov random transformations is proposed. In this setting, a new notion of r…
Symmetries of Stochastic Differential Equations using Girsanov transformations
Francesco C. De Vecchi, Paola Morando, Stefania Ugolini
Aiming at enlarging the class of symmetries of an SDE, we introduce a family of stochastic transformations able to change also the underlying probability measure exploiting Girsano…
Weak symmetries of stochastic differential equations driven by semimartingales with jumps
Sergio Albeverio, Francesco C. De Vecchi, Paola Morando +1
Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general cadlag semimartingales taking values in Lie groups are defined and investigated…
Random transformations and invariance of semimartingales on Lie groups
Sergio Albeverio, Francesco C. De Vecchi, Paola Morando +1
Invariance properties of semimartingales on Lie groups under a family of random transformations are defined and investigated, generalizing the random rotations of the Brownian moti…