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Symmetries of first‐order stochastic ordinary differential equations revisited
Author(s) -
Fredericks E.,
Mahomed F. M.
Publication year - 2007
Publication title -
mathematical methods in the applied sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.719
H-Index - 65
eISSN - 1099-1476
pISSN - 0170-4214
DOI - 10.1002/mma.942
Subject(s) - mathematics , infinitesimal , homogeneous space , ordinary differential equation , stochastic differential equation , context (archaeology) , stochastic partial differential equation , order (exchange) , stochastic calculus , calculus (dental) , reduction of order , differential equation , first order , mathematical analysis , differential algebraic equation , geometry , finance , economics , medicine , paleontology , dentistry , biology
Symmetries of stochastic ordinary differential equations (SODEs) are analysed. This work focuses on maintaining the properties of the Weiner processes after the application of infinitesimal transformations. The determining equations (DEs) for first‐order SODEs are derived in an Itô calculus context. These DEs are non‐stochastic. This article reconciles earlier works in this area. Copyright © 2007 John Wiley & Sons, Ltd.