On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
From MaRDI portal
Publication:2680508
DOI10.1134/S00122661220100019MaRDI QIDQ2680508
Publication date: 4 January 2023
Published in: Differential Equations (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A law of the iterated logarithm for stochastic integrals
- On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix
- An analytic study of the Ornstein-Uhlenbeck process with time-varying coefficients in the modeling of anomalous diffusions
- Answers to some questions about increments of a Wiener process
- Stochastic calculus for finance. II: Continuous-time models.
- Optimal superexponential stabilization of solutions of linear stochastic differential equations
- Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
- First hitting time of integral diffusions and applications
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Optimal Stabilization Policies for Stochastic Linear Systems: The Case of Correlated Multiplicative and Additive Disturbances
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Minimization of Risk and Linear Quadratic Optimal Control Theory
- Evolutionary transfer functions solution for continuous–time bilinear stochastic processes with time-varying coefficients.
- Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
- On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process
- Rates of decay and growth of solutions to linear stochastic differential equations with state-independent perturbations
- Logistic and θ-logistic models in population dynamics: general analysis and exact results
- A functional modulus of continuity for a Wiener process
This page was built for publication: On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs