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Izvestiya Vysshikh Uchebnykh Zavedenii. Matematika, 2009, Number 6, Pages 3–9 (Mi ivm1417)  
This article is cited in 2 scientific papers (total in 2 papers)

Solution of one class of systems of stochastic differential equations

O. V. Zakharova

Chair of Mathematics, Ufa State Aviation Technical University, Ufa, Russia
Full-text PDF (166 kB) Citations (2)
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Abstract: In this paper we prove that instead of solving a class of systems of stochastic differential equations with a multidimensional Wiener process one can solve a system of total differential equations. The latter system admits the application of classical methods. This fact enables one to solve the initial system explicitly.
Keywords: Stratonovich integral, symmetric integral, system of stochastic differential equations, explicit solution formulas.
Received: 06.04.2007
English version:
Russian Mathematics (Izvestiya VUZ. Matematika), 2009, Volume 53, Issue 6, Pages 1–6
DOI: https://doi.org/10.3103/S1066369X09060012
Bibliographic databases:
UDC: 519.217
Language: Russian
Citation: O. V. Zakharova, “Solution of one class of systems of stochastic differential equations”, Izv. Vyssh. Uchebn. Zaved. Mat., 2009, no. 6, 3–9; Russian Math. (Iz. VUZ), 53:6 (2009), 1–6
Citation in format AMSBIB
\Bibitem{Zak09}
\by O.~V.~Zakharova
\paper Solution of one class of systems of stochastic differential equations
\jour Izv. Vyssh. Uchebn. Zaved. Mat.
\yr 2009
\issue 6
\pages 3--9
\mathnet{http://mi.mathnet.ru/ivm1417}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2583993}
\zmath{https://zbmath.org/?q=an:1180.60052}
\transl
\jour Russian Math. (Iz. VUZ)
\yr 2009
\vol 53
\issue 6
\pages 1--6
\crossref{https://doi.org/10.3103/S1066369X09060012}
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  • https://www.mathnet.ru/eng/ivm/y2009/i6/p3
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Известия высших учебных заведений. Математика Russian Mathematics (Izvestiya VUZ. Matematika)
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    References:43
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