Title: Existence and uniqueness of solutions to Lyapunov matrix stochastic differential equations

Authors: M.V.S.S.B.B.K. Sastry; G.V.S.R. Deekshitulu

Addresses: Department of Mathematics, UCEK, JNTUK, Kakinada, 533003, AP, India ' Department of Mathematics, UCEK, JNTUK, Kakinada, 533003, AP, India

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.

Keywords: existence; uniqueness; Lyapunov matrix; SDEs; stochastic differential equations; successive approximations.

DOI: 10.1504/IJDSDE.2018.096209

International Journal of Dynamical Systems and Differential Equations, 2018 Vol.8 No.4, pp.280 - 295

Received: 25 Feb 2017
Accepted: 04 Oct 2017
Published online: 19 Nov 2018 *

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