Finite-dimensional distributions of invariant measure in nonlinear stochastic differential systems (Q1974979)
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scientific article; zbMATH DE number 1425273
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite-dimensional distributions of invariant measure in nonlinear stochastic differential systems |
scientific article; zbMATH DE number 1425273 |
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Finite-dimensional distributions of invariant measure in nonlinear stochastic differential systems (English)
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27 March 2000
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This paper reviews and discusses the author's method for constructing integral invariants in order to find the density functions of solutions of systems of Itô differential equations of the form \[ Z'= a(Z,t)+ b(Z,t)V, \qquad Z(t_0)= Z_0, \] where \(V\) is the mean-square derivative of an \(m\)-dimensional Wiener process \(W(t)\) and \(Z_0\) is a normal random variable independent of the increments of \(W(t)\) for \(t> t_0\).
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