Linear stochastic differential algebraic equations with constant coefficients

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dc.contributor	Centre de Recerca Matemàtica
dc.contributor.author	Alabert, Aureli
dc.contributor.author	Ferrante, Marco
dc.date.accessioned	2005-12-02T08:55:35Z
dc.date.available	2005-12-02T08:55:35Z
dc.date.issued	2005-07
dc.identifier.uri	http://hdl.handle.net/2072/1232
dc.format.extent	212624 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.publisher	Centre de Recerca Matemàtica
dc.relation.ispartofseries	Prepublicacions del Centre de Recerca Matemàtica;639
dc.rights	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el centre i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
dc.subject	Equacions diferencials algèbriques
dc.subject	Equacions estocàstiques diferencials
dc.title	Linear stochastic differential algebraic equations with constant coefficients
dc.type	info:eu-repo/semantics/preprint
dc.description.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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