Simplified formulas for the mean and variance of linear stochastic differential equations

DOI10.1016/J.AML.2015.04.009MaRDI QIDQ289367zbMATH OpenOpenAlexFDO

Authors Juan Carlos Jimenez

Publication date 30 May 2016

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.5067

zbMATH Keywords

system identificationdiffusion processstochastic differential equationslocal linearization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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.

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Cites work

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Cited in

(7)

• Computing high dimensional multiple integrals involving matrix exponentials
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• scientific article; zbMATH DE number 4174034 (Why is no real title available?)
• Controlling roughening processes in the stochastic Kuramoto-Sivashinsky equation
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Describes a project that uses

Uses Software

• Expokit
• MATLAB expm

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