On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs (Q2680508): Difference between revisions

The author studied linear stochstic differential equations (SDEs) as follows \[ dX_{t}=a_{t}X_{t}dt+f_{t}dt+G_{t}dW_{t}+\sigma_{t}X_{t}dw_{t} \] with initial condition \(X_{0}=x\), where \(a_{t},G_{t}\) and \(\sigma_{t}\) are piecewise continuous deterministic functions of time, \(W_{t}\) and \(w_{t}\) are correlated one-dimensional Wiener processes; i.e. \(dW_{t}dw_{t}=\rho dt\), \(\rho\) is a constant such that \(-1<\rho<1\). The author obtained the behavior of solutions of the SDEs as the time parameter tends to infinity. The results were used to study the subdiffusion modeling problem in which the velocity process is determined by the solution of a linear SDE.