General matrix-valued inhomogeneous linear stochastic differential equations and applications

DOI10.1016/j.spl.2008.02.013zbMath1149.60316arXiv0808.1112OpenAlexW1991503266MaRDI QIDQ951179

Jin-qiao Duan, Jia'an Yan

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.1112

Mathematics Subject Classification ID

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

Related Items (2)

Asymptotic expansions for SDE's with small multiplicative noise ⋮ Remarks on Föllmer's pathwise Itô calculus

Cites Work

• A note on the inhomogeneous linear stochastic differential equation.
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
• Quelques applications de la formule de changement de variables pour les semimartingales
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