Generalization of the Transformation Method to the Stratonovich Formula for Solving Stochastic Differential Equations

Alojedi, Ali Mahmood; J. Salim, Abdulghafoor

doi:10.33899/csmj.2025.155177.1155

	Generalization of the Transformation Method to the Stratonovich Formula for Solving Stochastic Differential Equations
AL-Rafidain Journal of Computer Sciences and Mathematics
Article 4, Volume 19, Issue 1, June 2025, Pages 34-40 PDF (483.24 K)
Document Type: Research Paper
DOI: 10.33899/csmj.2025.155177.1155
Authors
Ali mahmood alojedi^* ¹; Abdulghafoor J. Salim²
¹جامعة الموصل
²Department Mathematics, College of Computer Science and Mathematics, University of Mosul, Iraq.
Abstract
In this research, the reducible method or what is called the transformation method was generalized to the Stratonovich formula used to solve stochastic differential equations (SDEs), and the general formulas for the solutions and their theories were reached and the conditions necessary for reducing the stochastic differential equation were clarified by generalizing this method from the Ito integration formula to the Stratonovich integration formula and the transformation method between them, and these two integration formulas (Ito formula and Stratonovich formula) were applied to a group of diverse examples and the solutions were obtained and drawn (by the MATLAB program) and the results of the solutions for both methods were compared.
Keywords
Wiener Process; Stochastic differential equation; Exact solution; Ito – formulas; Stratonovich formula

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