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

Juan Carlos Jimenez

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arXiv · 1207.5067

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

Juan Carlos Jimenez

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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.

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Juan Carlos Jimenez. 2012-07-20. Simplified formulas for the mean and variance of linear stochastic differential equations. https://arxiv.org/abs/1207.5067

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