A representation of solution of stochastic differential equations (Q819670): Difference between revisions

The authors consider a \(d\)-dimensional stochastic differential equation, scaled by a parameter \(\varepsilon \in (0,1]\), in Stratonovich form \[ d\xi^\varepsilon_t = \sum_{i=1}^r X_i(\xi^\varepsilon_t)\circ dB^i_t + \varepsilon^2 X_0(\xi^\varepsilon_t)dt,\quad \xi^\varepsilon_0=x_0, \] where \(B_t=(B_t^1,\dots, B_t^r)\) is an \(r\)-dimensional Brownian motion and \(X_0,\dots,X_r\) are \(C^\infty\)-bounded vector fields on \(R^d\). Then considering the free Lie algebra generated by \(\mathfrak{X}=\{X_0,\dots,X_r\}\) the authors show using Friedrich's test that \(\log\xi^\varepsilon_t\) is an element of this Lie algebra. An explicit fomula for this element in terms of Lie brackets and iterated Stratonovich integrals is obtained by applying the Specht-Wever theorem to each term of the expansion of the logarithm of the solution \(\xi^\varepsilon_t\). Some examples comparing the obtained representations to those resulting from other approaches conclude the article.