Differential equations with boundary conditions perturbed by a Poisson noise. (Q1879515): Difference between revisions
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English | Differential equations with boundary conditions perturbed by a Poisson noise. |
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Differential equations with boundary conditions perturbed by a Poisson noise. (English)
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22 September 2004
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The one-dimensional stochastic differential equation with additive Poisson noise \[ X_t= X_0+\int _0^tf(s,X_s) \,ds +N_t, \quad t\in [0,1], \] is studied with boundary conditions of the form \(X_0= \psi (X_1),\) where \(f\) satisfies the usual Itô conditions and \(\psi \) is either one-sided Lipschitz or inverse Lipschitz. The existence and uniqueness of solutions (in the pathwise sense) are shown and, for smooth coefficients, differentiability properties of solutions are investigated. The main result of the paper deals with the reciprocal property of solutions. If \(f\) is affine or 1-periodic in the second variable, then the solution is proved to be reciprocal. An example is given showing that the converse is not true.
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stochastic differential equations
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boundary conditions
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Poisson noise
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