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Math. Comput. Appl. 2010, 15(4), 601-612; doi:10.3390/mca15040601

Lie Infinitesimal Conserved Quantities for Itô Stochastic ODEs

1
Mathematics and Applied Mathematics Bldg., Room 310.1, University of Cape Town, Rondebosch, 7700, South Africa
2
Centre for Differential Equations, Continuum Mechanics and Applications, School of Computational and Applied Mathematics, University of the Witwatersrand, Wits 2050, South Africa
*
Authors to whom correspondence should be addressed.
Published: 1 December 2010
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Abstract

A methodology for constructing conserved quantities with Lie symmetry infinitesimals in an Itô integral context is pursued. The basis of this construction relies on Lie bracket relations on both the instantaneous drift and diffusion of an Itˆo stochastic ordinary differential equation (SODE).
Keywords: Lie infinitesimal; stochastic ordinary differential equation; conserved quantity Lie infinitesimal; stochastic ordinary differential equation; conserved quantity
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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MDPI and ACS Style

Fredericks, E.; Mahomed, F.; Masike, K. Lie Infinitesimal Conserved Quantities for Itô Stochastic ODEs. Math. Comput. Appl. 2010, 15, 601-612.

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