On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
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.
- Analysis of the asymptotic behavior of the solution to a linear stochastic differential equation with subexponentially stable matrix and its application to a control problem
- Asymptotic behaviour of solutions of nonhomogeneous linear systems of stochastic differential equations with constant coefficients
- On the asymptotic properties of solutions of linear stochastic differential equations in \(R^{d}\)
- Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
- Asymptotic behavior of linear fractional stochastic differential equations with time-varying delays
- A functional modulus of continuity for a Wiener process
- A law of the iterated logarithm for stochastic integrals
- 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
- Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
- Evolutionary transfer functions solution for continuous–time bilinear stochastic processes with time-varying coefficients.
- First hitting time of integral diffusions and applications
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3259552 (Why is no real title available?)
- Logistic and θ-logistic models in population dynamics: general analysis and exact results
- Minimization of Risk and Linear Quadratic Optimal Control Theory
- On the asymptotic degeneration of systems of linear inhomogeneous stochastic differential equations
- On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix
- On upper functions for anomalous diffusions governed by time-varying Ornstein-Uhlenbeck process
- Optimal Stabilization Policies for Stochastic Linear Systems: The Case of Correlated Multiplicative and Additive Disturbances
- Optimal superexponential stabilization of solutions of linear stochastic differential equations
- Ordinary differential equations and dynamical systems
- Rates of decay and growth of solutions to linear stochastic differential equations with state-independent perturbations
- Stochastic calculus for finance. II: Continuous-time models.
- Stochastic differential equations and applications.
- Stochastic linear-quadratic optimal control theory: differential games and mean-field problems
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
This page was built for publication: On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2680508)
