| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1707642 | Applied Mathematics Letters | 2015 | 8 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
J.C. Jimenez,