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Volume
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Vietnam Journal of Mathematics 38: 1 (2010)
117-131
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Stochastic Differential-algebraic Equations of
Index 1
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Nguyen Dinh Cong
and Nguyen Thi The
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Abstract. In this paper we investigate
nonautonomous linear stochastic differential algebraic equations (SDAE). We
give a rigorous definition of solutions of such kind of equations. In an
analogue with the deterministic case of differential algebraic equations we
define the class of index 1 SDAE and prove a theorem on existence and
uniqueness of solution for this class.
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2000 Mathematics Subject Classification: 34A09, 34F05,
60H10, 93E03.
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Keywords: Differential-algebraic equations,
stochastic differential equations, stochastic differential-algebraic
equations, index 1, existence and uniqueness of solution.
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