Linear stochastic differential equation (cumulant expansions)

Deep Water Gravity Waves - Lecture Notes in Physics ◽

10.1007/3-540-10852-1_98 ◽

2008 ◽

pp. 190-201

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Linear Stochastic Differential Equation ◽

Cumulant Expansions

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Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with lévy noise

Ukrainian Mathematical Journal ◽

10.1007/s11253-011-0519-7 ◽

2011 ◽

Vol 63 (4) ◽

pp. 501-515 ◽

Author(s):

S.V. Bodnarchuk ◽

A. M. Kulik

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Distribution Density ◽

Lévy Noise ◽

Linear Stochastic Differential Equation ◽

Multidimensional Linear ◽

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Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion

Stochastic Analysis and Applications ◽

10.1080/07362994.2017.1338577 ◽

2017 ◽

Vol 35 (6) ◽

pp. 943-953 ◽

Author(s):

B. L. S. Prakasa Rao

Keyword(s):

Differential Equation ◽

Brownian Motion ◽

Stochastic Differential Equation ◽

Fractional Brownian Motion ◽

Instrumental Variable ◽

Instrumental Variable Estimation ◽

Linear Stochastic Differential Equation ◽

Mixed Fractional Brownian Motion

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A Conditional Independence Property for the Solution of a Linear Stochastic Differential Equation with Lateral Conditions

Stochastic Analysis and Related Topics VI ◽

10.1007/978-1-4612-2022-0_4 ◽

1998 ◽

pp. 159-173

Author(s):

Aureli Alabert ◽

Marco Ferrante

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Conditional Independence ◽

Independence Property ◽

Linear Stochastic Differential Equation

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On the Mean-Square Stabilizability of a Linear Stochastic Differential Equation

Boundary Control and Variation ◽

10.1201/9781482277685-25 ◽

1994 ◽

pp. 399-416

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Mean Square ◽

Linear Stochastic Differential Equation ◽

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A guaranteed control problem for a linear stochastic differential equation

Ural mathematical journal ◽

10.15826/umj.2015.1.007 ◽

2015 ◽

pp. 68-82 ◽

Author(s):

Valeriy L. Rozenberg

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Control Problem ◽

Linear Stochastic Differential Equation ◽

Guaranteed Control

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On a generalization of the Lyapunov exponent of a second order linear stochastic differential equation

Lecture Notes in Mathematics - Lyapunov Exponents ◽

10.1007/bfb0076839 ◽

1986 ◽

pp. 191-199

Author(s):

Olaf Böhme

Keyword(s):

Differential Equation ◽

Lyapunov Exponent ◽

Stochastic Differential Equation ◽

Second Order ◽

Order Linear ◽

Linear Stochastic Differential Equation

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On the existence and uniqueness of a solution of a linear stochastic differential equation with respect to a logarithmic process

Ukrainian Mathematical Journal ◽

10.1007/bf02513440 ◽

1997 ◽

Vol 49 (6) ◽

pp. 966-975

Author(s):

A. Yu. Pilipenko

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Existence And Uniqueness ◽

Linear Stochastic Differential Equation ◽

Uniqueness Of A Solution

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A characterization of regular solutions of a linear stochastic differential equation

Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete ◽

10.1007/bf00532862 ◽

1974 ◽

Vol 30 (1) ◽

pp. 45-55 ◽

Author(s):

J. T. Lewis ◽

L. C. Thomas

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Regular Solutions ◽

Linear Stochastic Differential Equation

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One-parameter statistical model for linear stochastic differential equation with time delay

10.1080/02331888.2016.1239728 ◽

2016 ◽

Vol 51 (3) ◽

pp. 510-531 ◽

Author(s):

János Marcell Benke ◽

Gyula Pap

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Statistical Model ◽

Linear Stochastic Differential Equation

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A piecewise linear stochastic differential equation driven by a Lévy process

Journal of Applied Probability ◽

10.1239/jap/1318940459 ◽

2011 ◽

Vol 48 (A) ◽

pp. 109-119 ◽

Author(s):

Josh Reed ◽

Bert Zwart

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Lévy Process ◽

Piecewise Linear ◽

Levy Process ◽

Invariant Distribution ◽

Linear Drift ◽

Linear Stochastic Differential Equation ◽

We consider a stochastic differential equation (SDE) with piecewise linear drift driven by a spectrally one-sided Lévy process. We show that this SDE has some connections with queueing and storage models, and we use this observation to obtain the invariant distribution.

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