arXiv:1605.02897 Abstract | arXiv Analytics

arXiv:1605.02897 [math-ph]Abstract References Reviews Resources

Variable transforms in stochastic differential equations

Published 2016-05-10Version 1

A state-dependence of the coupling with the noise can always be removed by a change of the variables. This excludes a free choice of the integration sense. The inverse transform by the Ito formula entails the Stratonovich sense, when a drift is absent or transforms as a tensor.

Comments: Replaces 1510.01247 1405.3066 1403.1060 1308.4515

Categories: math-ph, math.MP

Keywords: stochastic differential equations, variable transforms, ito formula entails, integration sense, stratonovich sense

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