Geodesic
Solution of one class of systems of stochastic differential equations
Izvestiâ vysših učebnyh zavedenij. Matematika, no. 6 (2009), pp. 3-9.

Voir la notice de l'article provenant de la source Math-Net.Ru

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
Mots-clés : explicit solution formulas. 
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O. V. Zakharova. Solution of one class of systems of stochastic differential equations. Izvestiâ vysših učebnyh zavedenij. Matematika, no. 6 (2009), pp. 3-9. http://geodesic.mathdoc.fr/item/IVM_2009_6_a0/

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