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math.PR2023
Hamiltonian stochastic Lie systems and applications
E. Fernández-Saiz, J. de Lucas, X. Rivas +1
This paper provides a practical approach to stochastic Lie systems, i.e. stochastic differential equations whose general solutions can be written as a function depending only on a…
math.PR2010★ 3 cited
A Lie systems approach for the first passage-time of piecewise deterministic processes
Florin Avram, José F. Cariñena, Javier de Lucas
Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which th…