Linear stochatic differential-algebraic equations with constant coefficients

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dc.creatorAlabert, Aureli
dc.creatorFerrante, Marco
dc.date2005-07-07
dc.date2006-07-03
dc.date.accessioned2026-07-07T06:42:36Z
dc.date.available2026-07-07T06:42:36Z
dc.descriptionWe consider linear stochastic differential-algebraic equations with constant coefficients and additive white noise. Due to the nature of this class of equations, the solution must be defined as a generalised process (in the sense of Dawson and Fernique). We provide sufficient conditions for the law of the variables of the solution process to be absolutely continuous with respect to Lebesgue measure.
dc.descriptionThe paper has been rewritten in a more formal style, with rigorous proofs. In particular, Section 4 on absolute continuity of solutions has been completely rewritten
dc.identifierhttps://arxiv.org/abs/math/0507159
dc.identifierhttp://arxiv.org/abs/math/0507159
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/102100
dc.subjectProbability
dc.subject60H10, 34A09
dc.titleLinear stochatic differential-algebraic equations with constant coefficients
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