Superposition rules and stochastic Lie-Scheffers systems (Q985337): Difference between revisions

The authors extend the Lie-Scheffers theorem to stochastic differential equations, an extension that is notably seen to be more than just a transcription of the deterministic version into the context of Stratonovich stochastic integration. The regularity conditions needed for the result are carefully given and the hypotheses examined. The classical Wei-Norman method is adapted to the stochastic setting and a number of examples are given.