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On the Adjoint Equation of Stochastic Linear Systems with Small Correlation Times

โœ Scribed by Menelaos Lambiris

Publisher
Elsevier Science
Year
1980
Tongue
English
Weight
355 KB
Volume
310
Category
Article
ISSN
0016-0032

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โœฆ Synopsis

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.

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