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arXiv · 0808.1112

General Matrix-Valued Inhomogeneous Linear Stochastic Differential Equations and Applications

Jinqiao Duan·Jia-an Yan
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Abstract

The expressions of solutions for general $n\times m$ 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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Jinqiao Duan, Jia-an Yan. 2008-08-07. General Matrix-Valued Inhomogeneous Linear Stochastic Differential Equations and Applications. https://arxiv.org/abs/0808.1112

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