Symmetries of first-order stochastic ordinary differential equations revisited

被引：19

作者：

Fredericks, E. ^{[1
]}

Mahomed, F. M. ^{[1
]}

机构：

[1] Univ Witwatersrand, Sch Computat & Appl Math, Ctr Differential Equat Contium Mech & Applicat, ZA-2050 Wits, South Africa

来源：

MATHEMATICAL METHODS IN THE APPLIED SCIENCES | 2007年 / 30卷 / 16期

关键词：

stationary processes; symmetries; invariants;

D O I：

10.1002/mma.942

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 Ito calculus context. These DEs are non-stochastic. This article reconciles earlier works in this area. Copyright (c) 2007 John Wiley & Sons, Ltd.

引用

页码：2013 / 2025

页数：13

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