✦ LIBER ✦

On stochastic differential equations with non-white noise having small correlation times

✍ Scribed by Menelaos Lambiris; Martin Leibowitz

Publisher: Elsevier Science
Year: 1980
Tongue: English
Weight: 464 KB
Volume: 309
Category: Article
ISSN: 0016-0032
DOI: 10.1016/0016-0032(80)90005-8

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✦ Synopsis

This is an extension of an earlier paper by the second author. In the previous work, an algorithm was derived for the moments of an homogeneous equation with noise similar to the white noise, but has small, finite correlafion time. In the present work this algorithm is extended for an inhomogeneous equation with the same characteristics.

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✍ Menelaos Lambiris 📂 Article 📅 1980 🏛 Elsevier Science 🌐 English ⚖ 355 KB

The statistical properties of a backward stochastic differential equation are derived, assuming the noise is similar to the white noise, but having small correlation times. The relation between the forward and backward systems is examined and given an application to the theory of maximum principle.