• 한국통계학회:학술대회논문집
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• 한국통계학회 2003년도 춘계 학술발표회 논문집
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• pp.25-30
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• 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).