I am looking forward the solution of multivariate Ornstein–Uhlenbeck differential stochastic equation with repeated eigenvalues.(adsbygoogle = window.adsbygoogle || []).push({});

In particular with

dy=A(y-c)dt +DdW

y is a vector nx1

A is nxn matrix withrepeated 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

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# SOLUTION Multivariate SDE with repeated Eigenvalues

Can you offer guidance or do you also need help?

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