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

DOI10.1016/J.AML.2015.04.009zbMATH Open1381.60093arXiv1207.5067OpenAlexW2962722979MaRDI QIDQ289367FDOQ289367

Authors: Juan Carlos Jimenez 

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

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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)

Cites Work

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Cited In (7)

• Right and left matrix-valued stochastic exponentials and explicit solutions to systems of SDEs
• Title not available (Why is that?)
• Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
• 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

• Expokit
• MATLAB expm

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