Francesco C. De Vecchi, Paola Morando, Stefania Ugolini
Published 2023-07-11Version 1
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 application of Lie's symmetry theory to autonomous stochastic differential equations. The main stochastic, geometrical and analytical aspects of the theory are discussed and applications to some Brownian motion driven stochastic models are provided.
Integration by parts formula and applications to equations with jumps
Integration by parts formula for exit times of one dimensional diffusions
A class of integration by parts formulae in stochastic analysis I
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