Abstract
It is proved that the Lie point symmetry group admitted by a scalar stochastic differential equation (SDE) of order n ⩾ 3 is at most (n + 2) dimensional. This result supplements those for first- and second-order SDEs. Maximal dimensionality can be used to carry out Lie group classifications. Lie point group classification of the third-order SDEs is provided.
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More From: Journal of Physics A: Mathematical and Theoretical
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