Random rotational invariance of integration by parts formulas within a Bismut-type approach
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866915341888651264 |
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| author | Dehò, Susanna De Vecchi, Francesco C. Morando, Paola Ugolini, Stefania |
| author_facet | Dehò, Susanna De Vecchi, Francesco C. Morando, Paola Ugolini, Stefania |
| contents | The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect of the rotational invariance of the driving Brownian motion in the derivation of the integration by parts formula is discussed and the invariance property of the formula is shown via applications to some explicit two-dimensional Brownian motion-driven stochastic models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_11937 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Random rotational invariance of integration by parts formulas within a Bismut-type approach Dehò, Susanna De Vecchi, Francesco C. Morando, Paola Ugolini, Stefania Probability Mathematical Physics 60H10, 58D19, 60H07 The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect of the rotational invariance of the driving Brownian motion in the derivation of the integration by parts formula is discussed and the invariance property of the formula is shown via applications to some explicit two-dimensional Brownian motion-driven stochastic models. |
| title | Random rotational invariance of integration by parts formulas within a Bismut-type approach |
| topic | Probability Mathematical Physics 60H10, 58D19, 60H07 |
| url | https://arxiv.org/abs/2506.11937 |