Right and Left Matrix-Valued Stochastic Exponentials and Explicit Solutions to Systems of SDEs |
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| Authors: | Liqing Yan |
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| Institution: | 1. Department of Mathematics , University of Florida , Gainesville, Florida, USA liqing@ufl.edu |
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| Abstract: | We study the properties of the right and left matrix-valued stochastic exponentials by their quadratic variation processes between two matrices of semimartingales. We obtain explicit solutions of linear and some nonlinear systems of stochastic differential equations by expressing the right and left stochastic exponentials in a closed-form formula. |
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| Keywords: | Quadratic variation processes SDEs Stochastic exponentials |
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