General matrix-valued inhomogeneous linear stochastic differential equations and applications

DOI10.1016/J.SPL.2008.02.013MaRDI QIDQ951179zbMATH OpenOpenAlexFDO

Authors Jinqiao Duan, Jia-An Yan

Publication date 30 October 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0808.1112

Mathematics Subject Classification ID

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

Abstract: The expressions of solutions for general $nimesm$ matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke (2003) for scalar inhomogeneous linear stochastic differential equations. As an application, some $R^n$ vector-valued inhomogeneous nonlinear stochastic differential equations are reduced to random differential equations, facilitating pathwise study of the solutions.

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Cited in

(4)

• Right and left matrix-valued stochastic exponentials and explicit solutions to systems of SDEs
• Remarks on Föllmer's pathwise Itô calculus
• A note on the inhomogeneous linear stochastic differential equation.
• Asymptotic expansions for SDE's with small multiplicative noise

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