An example of a non-Markovian stochastic two-point boundary value problem
The authors define the conditional independence of two \(\sigma\)-fields with respect to a third \(\sigma\)-field and characterize that in terms of factorization property. As an application, they prove that the solution \((X^1(t), X^2(t))\) of the following two-dimensional stochastic differential equation of Stratonovich type \[ dX^1(t) =X^1(t) \circ dW^1(t) +X^2(t) \circ dW^2 (t),\;dX^2(t) =X^2(t) \circ dW^2(t), \quad t\in (0,1), \] with the boundary condition \(X^1(0)+ X^2(0) =1\), \(X^1(1) +X^2(1) =1\) is not a Markov field.
- Linear stochastic differential equations with functional boundary conditions.
- Differential equations with boundary conditions perturbed by a Poisson noise.
- scientific article; zbMATH DE number 446485 (Why is no real title available?)
- scientific article; zbMATH DE number 4169761 (Why is no real title available?)
- scientific article; zbMATH DE number 1121857 (Why is no real title available?)
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