Linear Equations

In this chapter, we consider stochastic differential equations of the form \(\displaystyle dX_{t}=(B X_{t}+b)dt+{\sigma } dW_{t} \) where \(B\in {\mathbb {R}}^{N\times N}\) , \(b\in {\mathbb {R}}^{N}\) , \({\sigma }\in {\mathbb {R}}^{N\times d}\) , and W is a d-dimensional Brownian motion.