Bilinear stochastic systems with long range dependence in continuous time

MaRDI QIDQ4357571zbMATH OpenFDO

Authors E. Iglói, Gy. Terdik

Publication date 18 February 1999

zbMATH Keywords

bilinear modelBrownian motionGaussian processnon-Gaussian processstochastic differential equationwhite noise

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

Review text

It is considered the stochastic differential equation \(dy_t=(\mu+\alpha y_t)dt +(\beta +\gamma y_t)dw_t\), where \(w_t\) is a Brownian motion process, \(\beta^2+\mu^2>0, \gamma\not= 0,\) and \(2\alpha+\gamma^2<0\). The basic ideas leading to the stationary solution are given in both time domain and chaotic frequency domain firms. The fractional integral operator on this stationary solution is applied. The stochastic differential equation \(dy_t=(\mu+\alpha y_t)dt +i\gamma y_t dw^{(h)}_t\) with fractional Brownian motion input is considered as well. The problem of stochastic integration by the fractional Brownian motion is investigated and the stationary solution of this SDE is given. For the entire collection see [Zbl 0870.00040].

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Cited in

(7)

• Bilinear stochastic systems with fractional Brownian motion input
• Bilinear state systems on an unbounded time scale
• Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
• On multivariate nonlinear regression models with stationary correlated errors
• Stochastic control systems with long-range dependent noise
• Stochastic differential equations with fractional Brownian motion input
• Representation of the bilinear system output by multiple stochastic integrals

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