General matrix-valued inhomogeneous linear stochastic differential equations and applications
文献类型：期刊论文
| 作者 | Duan, Jinqiao1; Yan, Jia-an2
|
| 刊名 | STATISTICS & PROBABILITY LETTERS
 |
| 出版日期 | 2008-10-15 |
| 卷号 | 78期号:15页码:2361-2365 |
| ISSN号 | 0167-7152 |
| DOI | 10.1016/j.spl.2008.02.013 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000260698300013 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/6598]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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