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Theory of Probability and Mathematical Statistics

ISSN 1547-7363(online) ISSN 0094-9000(print)

 
 

 

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
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Abstract | References | Similar Articles | Additional Information

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.


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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)

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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