General Matrix-Valued Inhomogeneous Linear Stochastic Differential Equations and Applications
Dynamical Systems
2008-08-11 v1 Probability
Abstract
The expressions of solutions for general matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke (2003) for scalar inhomogeneous linear stochastic differential equations. As an application, some vector-valued inhomogeneous nonlinear stochastic differential equations are reduced to random differential equations, facilitating pathwise study of the solutions.
Cite
@article{arxiv.0808.1112,
title = {General Matrix-Valued Inhomogeneous Linear Stochastic Differential Equations and Applications},
author = {Jinqiao Duan and Jia-an Yan},
journal= {arXiv preprint arXiv:0808.1112},
year = {2008}
}