General matrix-valued inhomogeneous linear stochastic differential equations and applications

被引：4

作者：

Duan, Jinqiao ^{[1
]}

Yan, Jia-an ^{[2
]}

机构：

[1] IIT, Dept Appl Math, Chicago, IL 60616 USA

[2] Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 15期

基金：

美国国家科学基金会; 中国国家自然科学基金;

关键词：

D O I：

10.1016/j.spl.2008.02.013

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The expressions of solutions for general n x m matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke [Jaschke, S., 2003. A note on the inhomogeneous linear stochastic differential equation. Insurance: Mathematics and Finance 32, 461-464] for scalar inhomogeneous linear stochastic differential equations. As an application, some R-n vector-valued inhomogeneous nonlinear stochastic differential equations are converted to random differential equations, facilitating pathwise study of the solutions. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2361 / 2365

页数：5

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