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General matrix-valued inhomogeneous linear stochastic differential equations and applications

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  • Duan, Jinqiao
  • Yan, Jia-an

Abstract

The expressions of solutions for general nxm 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 vector-valued inhomogeneous nonlinear stochastic differential equations are converted to random differential equations, facilitating pathwise study of the solutions.

Suggested Citation

  • Duan, Jinqiao & Yan, Jia-an, 2008. "General matrix-valued inhomogeneous linear stochastic differential equations and applications," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2361-2365, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:15:p:2361-2365
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    References listed on IDEAS

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    1. Jaschke, Stefan, 2003. "A note on the inhomogeneous linear stochastic differential equation," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 461-464, July.
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    Cited by:

    1. Albeverio, Sergio & Smii, Boubaker, 2015. "Asymptotic expansions for SDE’s with small multiplicative noise," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 1009-1031.

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