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arXiv · 1510.01247

Stochastic differential equations with covariant probabilities

Dietrich Ryter
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Abstract

Covariance of the resulting probabilities requires the "anti-Ito" sense. The corresponding Fokker-Planck equation is simplified and preserves important features of the case with a constant diffusion. Multiplicative noise can always be removed by a change of the variables, which is specified explicitly.

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Dietrich Ryter. 2016-05-11. Stochastic differential equations with covariant probabilities. https://arxiv.org/abs/1510.01247

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