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The first integrals for systems of stochastic differential equations with jumps

Author(s): G. L. Kulinich; S. V. Kushnirenko
Translated by: S. Kvasko
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 76 (2007).
Journal: Theor. Probability and Math. Statist. No. 76 (2008), 93-101.
MSC (2000): Primary 60H10
Posted: July 14, 2008
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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.

References:

1.: I. I. Gikhman and A. V. Skorokhod, Stochastic Differential Equations and their Applications, ``Naukova dumka'', Kiev, 1982. (Russian) MR 678374 (84j:60003)
2.: G. L. Kulinich and O. V. Pereguda, Invariant Sets of Itô Stochastic Differential Equations, Kyiv University, Kyiv, 2002. (Ukrainian)


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