| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 760267 | Communications in Nonlinear Science and Numerical Simulation | 2007 | 11 Pages |
Abstract
A new definition of an admitted Lie group of transformations for stochastic differential equations involving Brownian motion is presented. The transformation of the dependent variables involves time as well, and it is proved that Brownian motion is transformed to Brownian motion. Applications to a variety of stochastic differential equations are presented.
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Mechanical Engineering
Authors
Boonlert Srihirun, Sergey V. Meleshko, Eckart Schulz,