On Upper Functions for Integral Quadratic Functionals Based on Time-Varying Ornstein--Uhlenbeck Process
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://epubs.siam.org/doi/pdf/10.1137/S0040585X97T989799
Reference20 articles.
1. On the Generalization of Logarithmic Upper Function for Solution of a Linear Stochastic Differential Equation with a Nonexponentially Stable Matrix
2. Analysis of the Asymptotic Behavior of the Solution to a Linear Stochastic Differential Equation with Subexponentially Stable Matrix and Its Application to a Control Problem
3. Time Dependent Heston Model
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