Linear Stochastic Differential-Algebraic Equations
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.
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.
Speakers
Additional Information
Probability Seminar 2007
Marco Ferrante (University of British Columbia)
Marco Ferrante (University of British Columbia)