Second order stochastic differential equations with Dirichlet boundary conditions (Q1180169): Difference between revisions

The pathwise existence and uniqueness, and various types of the Markov property of a solution to the stochastic differential equation \[ d^ 2X_ t/dt^ 2+f(X_ t,dX_ t/dt)=dW_ t/dt, \qquad 0\leq t\leq 1, \] with boundary conditions \(X_ 0=a\), \(X_ 1=b\) are considered. Here \(W_ t\) is a one-dimensional Brownian motion, \(a\) and \(b\) are real numbers, and \(f\) is a real function satisfying some smoothness and monotonicity conditions.