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Lie Infinitesimal Conserved Quantities for Itô Stochastic ODEs
Mathematics and Applied Mathematics Bldg., Room 310.1, University of Cape Town, Rondebosch, 7700, South Africa
Centre for Differential Equations, Continuum Mechanics and Applications, School of Computational and Applied Mathematics, University of the Witwatersrand, Wits 2050, South Africa
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Published: 1 December 2010
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).
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Fredericks, E.; Mahomed, F.; Masike, K. Lie Infinitesimal Conserved Quantities for Itô Stochastic ODEs. Math. Comput. Appl. 2010, 15, 601-612.
Fredericks E, Mahomed F, Masike K. Lie Infinitesimal Conserved Quantities for Itô Stochastic ODEs. Mathematical and Computational Applications. 2010; 15(4):601-612.
Fredericks, E.; Mahomed, F.M.; Masike, K. 2010. "Lie Infinitesimal Conserved Quantities for Itô Stochastic ODEs." Math. Comput. Appl. 15, no. 4: 601-612.
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