Title: The similarity method in stochastic dynamical systems
Abstract:In the present article, the similarity method is formulated to stochastic dynamical systems described by stochastic differential equations of Stratonovich type. When a stochastic dynamical system admi...In the present article, the similarity method is formulated to stochastic dynamical systems described by stochastic differential equations of Stratonovich type. When a stochastic dynamical system admits symmetries, it follows that the order of stochastic equations describing the system can be reduced. Here a symmetry means an one-parameter continuous transformation which leaves the stochastic system invariant. Several examples are given, in which a nonlinear stochastic system, stochastic Hamiltonian dynamical systems related to the harmonic oscillator, and a stochastic version of the neo-classical optimal growth model suggested by Samuelson are contained.Read More
Publication Year: 1997
Publication Date: 1997-12-01
Language: en
Type: article
Indexed In: ['crossref']
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