Title of article
A representation of solution of stochastic differential equations
Author/Authors
Yoon Tae Kim، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2006
Pages
15
From page
568
To page
582
Abstract
We prove that the logarithm of the formal power series, obtained from a stochastic differential equation,
is an element in the closure of the Lie algebra generated by vector fields being coefficients of equations. By
using this result, we obtain a representation of the solution of stochastic differential equations in terms of
Lie brackets and iterated Stratonovich integrals in the algebra of formal power series.
2005 Elsevier Inc. All rights reserved.
Keywords
Iterated Stratonovich integrals , Lie brackets , Brownian motion , Specht–Wever theorem , Stochastic differential equation
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2006
Journal title
Journal of Mathematical Analysis and Applications
Record number
934371
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