Bilinear stochastic systems with long range dependence in continuous time (Q4357571)

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].