Affine periodic solutions for some stochastic differential equations (Q6052571)

The existence and uniqueness of an affine periodic solution in distribution is proved for the stochastic differential equation \[dX(t)= A(t)X(t)\,dt+ f(t,X(t))\,dt+ g(t,X(t))\,dW(t),\] where \(W(t)\) is a two-sided standard \(m\)-dimensional Brownian motion, \(A(t)\) is a linear operator such that \(A(t+ T)= QA(t)Q^{-1}\) with \(Q\) a nonsingular matrix, \[f(t+T,x)= Qf(t,Q^{-1} x)\quad\text{and}\quad g(t+T,x)= Qg(t,Q^{-1} x).\]