Simplified formulas for the mean and variance of linear stochastic differential equations
Simplified formulas for the mean and variance of linear stochastic differential equations
复制标题
线性随机微分方程均值和方差的简化公式
DOI：
10.1016/j.aml.2015.04.009
复制
发表时间：
2012
期刊：
影响因子：
--
通讯作者：
J. C. Jimenez
中科院分区：
文献类型：
--
作者：
J. C. Jimenez
利用指数矩阵导出了具有线性漂移和扩散系数的随机微分方程解的均值和方差的显式表达式。这个结果改进了以前的结果，即均值和方差用高维指数矩阵的线性组合表示。
Explicit formulas for the mean and variance of the solutions of stochastic differential equations with linear drift and diffusion coefficients in state and time are derived in terms of an exponential matrix. This result improved a previous one by means of which the mean and variance are expressed in terms of a linear combination of higher dimensional exponential matrices.