Past exam of the mathematics course of the University of Cambridge / 2015 / ii / Paper 4 / 11E / b

Let $\xi =x-⟨x⟩$ and $C_{ij}=⟨{\xi }_i{\xi }_j⟩$. In the linear noise approximation, $A_i=a_{ik}{\xi }_k$ and $B_{ij}=b_{ij}$. At the stationary mean, the preceding moment identity gives ${\dot{C}}_{ij}=a_{ik}{C}_{kj}+a_{jk}{C}_{ik}+b_{ij}$. Hence the stationary covariance matrix solves the Continuous Lyapunov equationwhich is precisely the requested component formula because $C$ is symmetric.