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Normally if you have a linear SDE given such as $dx_t = (A(t)x_t + a(t))dt + \sigma(t) dW_t$, we want to find $x_t$, more precisely we want to find the mean and variance of $x_t$ at each timestep $t$. ...

Let $\lambda_k,\mu_k\in\mathbb R_{\ge0}$ $(k\ge1)$ be nonnegative real numbers, let $S=\mathbb Z_{\ge0}$ be the nonnegative integers, let $T=\mathbb R_{\ge0}$ be the nonnegative real numbers and ...