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Linear stochastic differential-algebraic equations
with constant coefficients
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Aureli Alabert, Universitat Autònoma de Barcelona
Marco Ferrante, Univesità degli Studi di Padova
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Abstract
We 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.
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Full text: PDF
Pages: 316-335
Published on: December 13, 2006
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Electronic Communications in Probability. ISSN: 1083-589X |
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