Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

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
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted