Right and left matrix-valued stochastic exponentials and explicit solutions to systems of SDEs

DOI10.1080/07362994.2011.610160zbMATH Open1235.60072OpenAlexW2044720862MaRDI QIDQ3119087FDOQ3119087

Authors: Liqing Yan 

Publication date: 7 March 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.610160

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zbMATH Keywords

stochastic exponentialsSDEsquadratic variation processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.

Cited In (2)

• General matrix-valued inhomogeneous linear stochastic differential equations and applications
• Simplified formulas for the mean and variance of linear stochastic differential equations

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