• Title/Summary/Keyword: Specht-Wever theorem

Search Result 1, Processing Time 0.022 seconds

Lie Algebraic Solution of Stochastic Differential Equations

  • Kim, Yoon-Tae;Jeon, Jong-Woo
    • Proceedings of the Korean Statistical Society Conference
    • /
    • 2003.05a
    • /
    • pp.25-30
    • /
    • 2003
  • 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).

  • PDF