General matrix-valued inhomogeneous linear stochastic differential equations and applications

Jinqiao Duan and Jia-an Yan

Statistics & Probability Letters, 2008, vol. 78, issue 15, 2361-2365

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.

Date: 2008
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