Linear stochastic differential-algebraic equations with constant coefficients

Aureli Alabert, Marco Ferrante

Research output: Contribution to journalArticleResearchpeer-review

13 Citations (Scopus)

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. © 2006 Applied Probability Trust.
Original languageEnglish
Pages (from-to)316-335
JournalElectronic Communications in Probability
Volume11
DOIs
Publication statusPublished - 1 Jan 2006

Keywords

  • Random distributions
  • Stochastic differential-algebraic equations

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