Show that if the initial condition (C) of the linear stochastic differential equation introduced in the text

Question:

Show that if the initial condition \(C\) of the linear stochastic differential equation introduced in the text has a Gaussian distribution, so does the solution of the stochastic differential equation.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Modern Classical Mechanics

ISBN: 9781108834971

1st Edition

Authors: T. M. Helliwell, V. V. Sahakian

Question Posted: