General matrix-valued inhomogeneous linear stochastic differential equations and applications

doi:10.1016/j.spl.2008.02.013

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	General matrix-valued inhomogeneous linear stochastic differential equations and applications
	Duan, Jinqiao 1; Yan, Jia-an2
	2008-10-15
发表期刊	STATISTICS & PROBABILITY LETTERS
ISSN	0167-7152
卷号	78 期号:15 页码:2361-2365
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.
DOI	10.1016/j.spl.2008.02.013
语种	英语
资助项目	NSF[0620539] ; National Natural Science Foundation of China[10571167] ; National Basic Research Program of China[2007CB814902]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000260698300013
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6599
专题	应用数学研究所
通讯作者	Duan, Jinqiao
作者单位	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
推荐引用方式 GB/T 7714	Duan, Jinqiao,Yan, Jia-an. General matrix-valued inhomogeneous linear stochastic differential equations and applications[J]. STATISTICS & PROBABILITY LETTERS,2008,78(15):2361-2365.
APA	Duan, Jinqiao,&Yan, Jia-an.(2008).General matrix-valued inhomogeneous linear stochastic differential equations and applications.STATISTICS & PROBABILITY LETTERS,78(15),2361-2365.
MLA	Duan, Jinqiao,et al."General matrix-valued inhomogeneous linear stochastic differential equations and applications".STATISTICS & PROBABILITY LETTERS 78.15(2008):2361-2365.