具常系数的线性随机微分代数方程
概率论
2007-05-23 v2
摘要
我们考虑具常系数与加性白噪声的线性随机微分代数方程。由于这类方程的性质，解必须定义为广义过程（在 Dawson 与 Fernique 的意义下）。我们给出了解过程各变量之律关于 Lebesgue 测度绝对连续的充分条件。
引用
@article{arxiv.math/0507159,
title = {Linear stochatic differential-algebraic equations with constant coefficients},
author = {Aureli Alabert and Marco Ferrante},
journal= {arXiv preprint arXiv:math/0507159},
year = {2007}
}
备注
The paper has been rewritten in a more formal style, with rigorous proofs. In particular, Section 4 on absolute continuity of solutions has been completely rewritten