General Matrix-Valued Inhomogeneous Linear Stochastic Differential Equations and Applications
Abstract
The expressions of solutions for general n× m 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 n vector-valued inhomogeneous nonlinear stochastic differential equations are reduced to random differential equations, facilitating pathwise study of the solutions.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.