On the solution of matrix‐valued linear stochastic differential equations driven by semimartingales

DOI10.1080/17442509108833679zbMath0723.60077OpenAlexW1986204234MaRDI QIDQ3210661

Hans M. Dietz

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833679

zbMATH Keywords

semimartingaleexponential semigroupmatrix-valued linear stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (1)

A stochastic interest model with an application to insurance

Cites Work

• Semimartingales: A course on stochastic processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]

This page was built for publication: On the solution of matrix‐valued linear stochastic differential equations driven by semimartingales