Existence and uniqueness of solutions to Lyapunov matrix stochastic differential equations Online publication date: Mon, 19-Nov-2018
by M.V.S.S.B.B.K. Sastry; G.V.S.R. Deekshitulu
International Journal of Dynamical Systems and Differential Equations (IJDSDE), Vol. 8, No. 4, 2018
Abstract: In this paper, we establish the existence and uniqueness of solutions to Lyapunov matrix stochastic differential equations (SDEs) by the method of successive approximations. The continuous dependence of the solutions on parameters and initial conditions are also discussed. An example is presented to illustrate the established results.
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