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Izvestiya Vysshikh Uchebnykh Zavedenii. Matematika, 2009, Number 6, Pages 3–9
(Mi ivm1417)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/ivm1417 https://www.mathnet.ru/eng/ivm/y2009/i6/p3
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Abstract page: | 321 | Full-text PDF : | 54 | References: | 43 | First page: | 5 |
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