How to find steady state (stationary) solution of a stochastic differential equation?
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i am trying to find steady state solution of a stochastic differential equation
$$
dy_t = mathcal{A} y_s dt + mathcal{B}_{1} y_s dmu_{1}+ mathcal{B}_{2t} y_s dmu_{2t} ,, ,
$$
where $mathcal{A}$ , $mathcal{B}_1$ and $mathcal{B}_2$ are operators , $dmu_{1t}$ and $dmu_{2t}$ are multiplicative white noises.
Is there any way or any literature where i can find some help for Steady state and stationary solution of SDE with multiplicative noises. Thanks in advance.
stochastic-processes stochastic-calculus stochastic-analysis stationary-processes steady-state
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
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add a comment |
$begingroup$
i am trying to find steady state solution of a stochastic differential equation
$$
dy_t = mathcal{A} y_s dt + mathcal{B}_{1} y_s dmu_{1}+ mathcal{B}_{2t} y_s dmu_{2t} ,, ,
$$
where $mathcal{A}$ , $mathcal{B}_1$ and $mathcal{B}_2$ are operators , $dmu_{1t}$ and $dmu_{2t}$ are multiplicative white noises.
Is there any way or any literature where i can find some help for Steady state and stationary solution of SDE with multiplicative noises. Thanks in advance.
stochastic-processes stochastic-calculus stochastic-analysis stationary-processes steady-state
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
$endgroup$
$begingroup$
Consider formatting the formulas through LaTex as explained in this tutorial math.meta.stackexchange.com/questions/5020/…
$endgroup$
– Kore-N
Oct 17 '17 at 8:23
add a comment |
$begingroup$
i am trying to find steady state solution of a stochastic differential equation
$$
dy_t = mathcal{A} y_s dt + mathcal{B}_{1} y_s dmu_{1}+ mathcal{B}_{2t} y_s dmu_{2t} ,, ,
$$
where $mathcal{A}$ , $mathcal{B}_1$ and $mathcal{B}_2$ are operators , $dmu_{1t}$ and $dmu_{2t}$ are multiplicative white noises.
Is there any way or any literature where i can find some help for Steady state and stationary solution of SDE with multiplicative noises. Thanks in advance.
stochastic-processes stochastic-calculus stochastic-analysis stationary-processes steady-state
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
$endgroup$
i am trying to find steady state solution of a stochastic differential equation
$$
dy_t = mathcal{A} y_s dt + mathcal{B}_{1} y_s dmu_{1}+ mathcal{B}_{2t} y_s dmu_{2t} ,, ,
$$
where $mathcal{A}$ , $mathcal{B}_1$ and $mathcal{B}_2$ are operators , $dmu_{1t}$ and $dmu_{2t}$ are multiplicative white noises.
Is there any way or any literature where i can find some help for Steady state and stationary solution of SDE with multiplicative noises. Thanks in advance.
stochastic-processes stochastic-calculus stochastic-analysis stationary-processes steady-state
stochastic-processes stochastic-calculus stochastic-analysis stationary-processes steady-state
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
edited Dec 27 '18 at 9:04
Skeptical Khan
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
asked Oct 16 '17 at 13:22
Skeptical KhanSkeptical Khan
193
193
$begingroup$
Consider formatting the formulas through LaTex as explained in this tutorial math.meta.stackexchange.com/questions/5020/…
$endgroup$
– Kore-N
Oct 17 '17 at 8:23
add a comment |
$begingroup$
Consider formatting the formulas through LaTex as explained in this tutorial math.meta.stackexchange.com/questions/5020/…
$endgroup$
– Kore-N
Oct 17 '17 at 8:23
$begingroup$
Consider formatting the formulas through LaTex as explained in this tutorial math.meta.stackexchange.com/questions/5020/…
$endgroup$
– Kore-N
Oct 17 '17 at 8:23
$begingroup$
Consider formatting the formulas through LaTex as explained in this tutorial math.meta.stackexchange.com/questions/5020/…
$endgroup$
– Kore-N
Oct 17 '17 at 8:23
add a comment |
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Consider formatting the formulas through LaTex as explained in this tutorial math.meta.stackexchange.com/questions/5020/…
$endgroup$
– Kore-N
Oct 17 '17 at 8:23