Lie Symmetry of It???? Stochastic Differential Equation Driven by Poisson Process
Abstract
This work leads to an understanding of the random time change formulae for Poisson driven process in the context of Lie point symmetries without having to consult much of the intense It????calculus theory needed to formally derive it. We apply a form invariance methodology to derive the formula and apply it to a few examples.
Full Text: PDF DOI: 10.15640/arms.v4n1a3
Abstract
This work leads to an understanding of the random time change formulae for Poisson driven process in the context of Lie point symmetries without having to consult much of the intense It????calculus theory needed to formally derive it. We apply a form invariance methodology to derive the formula and apply it to a few examples.
Full Text: PDF DOI: 10.15640/arms.v4n1a3
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