Simplified formulas for the mean and variance of linear stochastic differential equations
From MaRDI portal
Publication:289367
DOI10.1016/J.AML.2015.04.009zbMATH Open1381.60093arXiv1207.5067OpenAlexW2962722979MaRDI QIDQ289367FDOQ289367
Publication date: 30 May 2016
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Abstract: Explicit formulas for the mean and variance of linear stochastic differential equations are derived in terms of an exponential matrix. This result improved a previous one by means of which the mean and variance are expressed in terms of a linear combination of higher dimensional exponential matrices. The important role of the new formulas for the system identification as well as numerical algorithms for their practical implementation are pointed out.
Full work available at URL: https://arxiv.org/abs/1207.5067
Recommendations
- Exponential estimates of solutions of linear stochastic differential functional equations
- Right and left matrix-valued stochastic exponentials and explicit solutions to systems of SDEs
- Approximate formulas for expectations of functionals of solutions to stochastic differential equations
- Estimates and exact expressions for lyapunov exponents of stochastic linear differential equations
- Publication:3471279
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)
Cites Work
- Expokit
- Nineteen Dubious Ways to Compute the Exponential of a Matrix
- Computing integrals involving the matrix exponential
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Title not available (Why is that?)
- Computing multiple integrals involving matrix exponentials
- Linear estimation of continuous-discrete linear state space models with multiplicative noise
- Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
- Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
- Linear and non-linear filtering in mathematical finance: a review
- Time Series Modeling of Neuroscience Data
- An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
- Weak exponential schemes for stochastic differential equations with additive noise
- The Scaling and Squaring Method for the Matrix Exponential Revisited
- Title not available (Why is that?)
- High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
Cited In (5)
- Title not available (Why is that?)
- Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes
- A weak local linearization scheme for stochastic differential equations with multiplicative noise
- Controlling roughening processes in the stochastic Kuramoto-Sivashinsky equation
- Computing high dimensional multiple integrals involving matrix exponentials
Uses Software
This page was built for publication: Simplified formulas for the mean and variance of linear stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q289367)
