Abstract
We use Michel Emery's stability theorem for stochastic differential equations to give a short proof for explicit solutions to linear stochastic differential equations over a solvable Lie group.
Original language | English (US) |
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Pages (from-to) | 81-85 |
Number of pages | 5 |
Journal | Stochastic Processes and their Applications |
Volume | 35 |
Issue number | 1 |
DOIs | |
State | Published - Jun 1990 |
Keywords
- linear stochastic differential equations
- semimartingales
- solvable Lie group
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics