Summary.
Given a stochastic action integral we define a notion of invariance of this action under a family of one parameter space-time transformations and a notion of prolonged transformations which extend the existing analogs in classical calculus of variations. We prove that a family of prolonged transformations leaves the action integral invariant if and only if it leaves invariant the heat equation associated to it as well as the structure of the extremals. We then prove a stochastic version of Noether theorem: to each family of transformations leaving the action invariant (or symmetries) we can associate a function which gives a martingale when taken along a process minimizing the action under endpoint constraints.
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Received: 29 June 1996 / In revised form: 19 July 1996
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Thieullen, M., Zambrini, J. Symmetries in the stochastic calculus of variations. Probab Theory Relat Fields 107, 401–427 (1997). https://doi.org/10.1007/s004400050091
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DOI: https://doi.org/10.1007/s004400050091