The first integrals for systems of stochastic differential equations with jumps
Authors:
G. L. Kulinich and S. V. Kushnirenko
Translated by:
S. Kvasko
Journal:
Theor. Probability and Math. Statist. 76 (2008), 93-101
MSC (2000):
Primary 60H10
DOI:
https://doi.org/10.1090/S0094-9000-08-00734-5
Published electronically:
July 14, 2008
MathSciNet review:
2368742
Full-text PDF Free Access
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Abstract: We introduce a notion of the first integral for homogeneous stochastic differential equations. The results obtained in the paper allow us to find the first integrals for homogeneous stochastic differential equations.
References
- I. I. Gikhman and A. V. Skorokhod, Stokhasticheskie differentsial′nye uravneniya i ikh prilozheniya, “Naukova Dumka”, Kiev, 1982 (Russian). MR 678374
- G. L. Kulinich and O. V. Pereguda, Invariant Sets of Itô Stochastic Differential Equations, Kyiv University, Kyiv, 2002. (Ukrainian)
References
- I. I. Gikhman and A. V. Skorokhod, Stochastic Differential Equations and their Applications, “Naukova dumka”, Kiev, 1982. (Russian) MR 678374 (84j:60003)
- G. L. Kulinich and O. V. Pereguda, Invariant Sets of Itô Stochastic Differential Equations, Kyiv University, Kyiv, 2002. (Ukrainian)
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Additional Information
G. L. Kulinich
Affiliation:
Department of General Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
bksv@univ.kiev.ua
S. V. Kushnirenko
Affiliation:
Department of General Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
zag_mat@univ.kiev.ua
Keywords:
Stochastic differential equations with jumps,
first integrals
Received by editor(s):
July 12, 2006
Published electronically:
July 14, 2008
Article copyright:
© Copyright 2008
American Mathematical Society
