This article is cited in 2 papers

Solution of one class of systems of stochastic differential equations

O. V. Zakharova

Chair of Mathematics, Ufa State Aviation Technical University, Ufa, Russia

Abstract: In this paper we prove that instead of solving a class of systems of stochastic differential equations with a multidimensional Wiener process one can solve a system of total differential equations. The latter system admits the application of classical methods. This fact enables one to solve the initial system explicitly.

Keywords: Stratonovich integral, symmetric integral, system of stochastic differential equations, explicit solution formulas.

UDC: 519.217

Received: 06.04.2007

 English version: Russian Mathematics (Izvestiya VUZ. Matematika), 2009, 53:6, 1–6

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