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Journal of Applied Mechanics and Technical Physics

2014 year, number 2

A New Approach to the Group Analysis of One-Dimensional Stochastic Differential Equations

M. A. Abdullin1, S. V. Meleshko2, F. S. Nasyrov1
1Ufa State Aviation Technical University, Ufa, 450000 Russia
2Suranari Technological University, Nakhon Ratchasima, 30000 Thailand
Keywords: stochastic differential equations, symmetry, group analysis

Abstract

Stochastic evolution equations are investigated using a new approach to the group analysis of stochastic differential equations. It is shown that the proposed approach reduces the problem of group analysis for this type of equations to the same problem of group analysis for evolution equations of special form without stochastic integrals.