## Linear Stochastic Differential-Algebraic Equations

- Date: 09/19/2007

Lecturer(s):

Marco Ferrante (University of British Columbia)

Location:

University of British Columbia

Topic:

A Differential-Algeraic Equation is, essentially,

an Ordinary Differential Equation F(x,dot x)=0 that cannot be

solved for the derivative dot x . In a recent joint paper with

A. Alabert of UAB, Barcelona, we studied the 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 generalized process. In the talk

I will present the results of this paper, providing a sufficient

condition for the existence of the density of the law of the solution.

Other Information:

Probability Seminar 2007