Lie Point Symmetries of Autonomous Scalar First-Order Itô Stochastic Delay Ordinary Differential Equations

Aminu Ma’aruf Nass ()
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Aminu Ma’aruf Nass: Federal University Dutse

Journal of Theoretical Probability, 2022, vol. 35, issue 3, 1939-1951

Abstract: Abstract In this paper, we consider an extension of Lie group theory to the class of constant delay autonomous stochastic differential equations of Itô form. The determining equations are deterministic even though they represent the stochastic process. The Lie algebras obtained are of low dimensions, and they form an Abelian group.

Keywords: Lie symmetry; Delay stochastic differential equation; Infinitesimals; 35B06; 60H10; 60J65 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10959-021-01103-7

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