Random rotational invariance of integration by parts formulas within a Bismut-type approach
Abstract
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.
Fields of Study & Subjects
Stochastic processes and financial applications
Stochastic processes and statistical mechanics
Geometric Analysis and Curvature Flows
Publication details
- Journal / source
- Journal of Mathematical Physics
- Volume
- 67
- Issue
- 1
- Publication date
- 1 January 2026
- Language
- EN