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SOLUTION Multivariate SDE with repeated Eigenvalues

  1. Mar 1, 2010 #1
    I am looking forward the solution of multivariate Ornstein–Uhlenbeck differential stochastic equation with repeated eigenvalues.

    In particular with
    dy=A(y-c)dt +DdW

    y is a vector nx1
    A is nxn matrix with repeated eigenvalues
    c is vector of nx1 of constant
    D is a nxm matrix of constant
    dW is a mx1 vector independent brownian motion variables

    I tried a lot of SDE (stochastic differential equation book) I only find the classic solution of
    A with at n different eigenvalues....... Some reference please
  2. jcsd
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