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1 −x2 1 1 x1
dBt = ·
x2 2 (x )2
◦ dx1 + ·
x2 2 x
· ◦ dx2
1 + ( x1 ) 1 1 + ( x1 ) 1 x1
−x2 x1
dBt = ◦ dx1 + 2 ◦ dx2
x21 2
+ x2 x1 + x22
Na forma matricial obtemos o seguinte sistema:
" # " # " #
dBt 1 x1 x2 dx1
= 2 · ◦
dBt x1 + x22 −x2 x1 dx2
x2 1
" #
1 x1 x1
0
L2 → L2 + L1 · x2
−x2 x1 0 1
x2 1
1 x1 x1
0
x22
x2
0 x1 + x1 x1
1
x2 1
1 x1 x1
0
x21 +x22
x2
0 x1 x1
1
x2 1
1 x1 x1
0 x2
x21 +x22 x2
L1 → L1 − L2 ·
0 x1 x1
1 x21 + x22
x22
1 −x2
1 0 x1
− x1 ·(x21 +x22 ) x21 +x22
x21 +x22 x2
0 x1 x1
1
2
−x2
x1
1 0 x21 +x22 x21 +x22 x1
x21 +x22
L2 → L2 ·
0 x1
x2
x1
1 x21 + x22
x1 −x2
1 0 x21 +x22 x21 +x22
x2 x1
0 1 x21 +x22 x21 +x22
Ficamos com:
" # x1 −x2 " #
dx1 x21 +x22 x21 +x22 dBt
= x21 + x22 · x2 x1
◦
dx2 x21 +x22 x21 +x22
dBt
Ao final obtemos o seguinte sistema de EDE’s de Stratonovich.
Temos: " #
1 0
In =
0 1
2
det(In ) = 1
2
" #
1 −1
DXr =
1 1
" #
1 0
[I : DXr : i2 ] =
1 1
2
det[I : DXr : i2 ] = 1
2
Z t
x2 = 1 + 1 · x2 ◦ dBs
0