Cubification of σπ-SDE and exact moment equations

• Published in: Systems & control letters Vol. 136
• Main Authors: Borri, Alessandro, Carravetta, Francesco, Palumbo, Pasquale
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.02.2020
• Subjects: [formula omitted]-functions; Exact cubification; Exact quadratization; Moments closure; Moments equations; Stochastic differential equations; Moments closure; Stochastic differential equations; Exact cubification; Moments equations; Exact quadratization; σπ-functions

For an Itô-like Stochastic Differential Equation (SDE) system, with drift and diffusion that are formal polynomials of the independent variables, we show that all moments satisfy an infinite, countable, set of linear ordinary differential equations. This result is achieved by means of the exact cubi...