한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2003년도 춘계 학술발표회 논문집
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- Pages.25-30
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- 2003
Lie Algebraic Solution of Stochastic Differential Equations
초록
We prove that the logarithm of the flow of stochastic differential equations is an element of the free Lie algebra generated by a finite set consisting of vector fields being coefficients of equations. As an application, we directly obtain a formula of the solution of stochastic differential equations given by Castell(1993) without appealing to an expansion for ordinary differential equations given by Strichartz (1987).
키워드