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

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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. 
@article{IVM_2009_6_a0,
     author = {O. V. Zakharova},
     title = {Solution of one class of systems of stochastic differential equations},
     journal = {Izvesti\^a vys\v{s}ih u\v{c}ebnyh zavedenij. Matematika},
     pages = {3--9},
     publisher = {mathdoc},
     number = {6},
     year = {2009},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/IVM_2009_6_a0/}
}
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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/