线性随机微分方程均值与方差的简化公式
最优化与控制
2013-12-18 v2 数值分析
概率论
摘要
导出了用指数矩阵表示的线性随机微分方程均值和方差的显式公式。这一结果改进了先前的结果，后者将均值和方差表示为高维指数矩阵的线性组合。指出了新公式在系统辨识中的重要作用，以及其实用实现的数值算法。
引用
@article{arxiv.1207.5067,
title = {Simplified formulas for the mean and variance of linear stochastic differential equations},
author = {Juan Carlos Jimenez},
journal= {arXiv preprint arXiv:1207.5067},
year = {2013}
}
备注
The new version has an improved introduction and a new numerical simulation study. In subsection 3.2, the difference between the new and previous results is pointed out as well as the relevance of the new result in some important applications