{"title":"多布朗运动随机微分方程容许李群的定义","authors":"B. Srihirun, S. Meleshko, E. Schulz","doi":"10.1088/0305-4470/39/45/006","DOIUrl":null,"url":null,"abstract":"The definition of an admitted Lie group of transformations for stochastic differential equations has been already presented for equations with one-dimensional Brownian motion. The transformation of the dependent variables involves time as well, and it has been proven that Brownian motion is transformed to Brownian motion. In this paper, we will discuss this concept for stochastic differential equations involving multi-dimensional Brownian motion and present applications to a variety of stochastic differential equations.","PeriodicalId":87442,"journal":{"name":"Journal of physics A: Mathematical and general","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2006-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"21","resultStr":"{\"title\":\"On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion\",\"authors\":\"B. Srihirun, S. Meleshko, E. Schulz\",\"doi\":\"10.1088/0305-4470/39/45/006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The definition of an admitted Lie group of transformations for stochastic differential equations has been already presented for equations with one-dimensional Brownian motion. The transformation of the dependent variables involves time as well, and it has been proven that Brownian motion is transformed to Brownian motion. In this paper, we will discuss this concept for stochastic differential equations involving multi-dimensional Brownian motion and present applications to a variety of stochastic differential equations.\",\"PeriodicalId\":87442,\"journal\":{\"name\":\"Journal of physics A: Mathematical and general\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2006-10-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"21\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of physics A: Mathematical and general\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1088/0305-4470/39/45/006\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of physics A: Mathematical and general","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1088/0305-4470/39/45/006","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion
The definition of an admitted Lie group of transformations for stochastic differential equations has been already presented for equations with one-dimensional Brownian motion. The transformation of the dependent variables involves time as well, and it has been proven that Brownian motion is transformed to Brownian motion. In this paper, we will discuss this concept for stochastic differential equations involving multi-dimensional Brownian motion and present applications to a variety of stochastic differential equations.
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