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Symmetries of first-order stochastic ordinary differential equations revisited

✍ Scribed by E. Fredericks; F. M. Mahomed

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
136 KB
Volume
30
Category
Article
ISSN
0170-4214

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✦ Synopsis

Abstract

Symmetries of stochastic ordinary differential equations (SODEs) are analysed. This work focuses on maintaining the properties of the Weiner processes after the application of infinitesimal transformations. The determining equations (DEs) for first‐order SODEs are derived in an ItΓ΄ calculus context. These DEs are non‐stochastic. This article reconciles earlier works in this area. Copyright Β© 2007 John Wiley & Sons, Ltd.

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