Superposition rules and stochastic Lie-Scheffers systems (Q985337): Difference between revisions
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scientific article
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English | Superposition rules and stochastic Lie-Scheffers systems |
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Superposition rules and stochastic Lie-Scheffers systems (English)
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21 July 2010
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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.
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Lie-Scheffers system
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superposition rules
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stochastic differential equations
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Wei-Norman method
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