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Simplified formulas for the mean and variance of linear stochastic differential equations (1207.5067v2)
Published 20 Jul 2012 in math.OC, math.NA, and math.PR
Abstract: Explicit formulas for the mean and variance of linear stochastic differential equations 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. The important role of the new formulas for the system identification as well as numerical algorithms for their practical implementation are pointed out.