A representation of solution of stochastic differential equations

DOI10.1016/J.JMAA.2005.09.066MaRDI QIDQ819670zbMATH OpenOpenAlexFDO

Authors Yoon Tae Kim, Jong Woo Jeon

Publication date 29 March 2006

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2005.09.066

zbMATH Keywords

Expansion of the solution of a stochastic differential equationFormal power seriesIterated Stratonovich integralsLie brackets

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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.

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Cites work

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• Stochastic flows and Taylor series

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• Resolvents of the Ito differential equations multiplicative with respect to the state vector
• A remark on Kunita's decomposition theorem

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