Asymptotic approximation of the solution of a random boundary value problem containing small white noise (Q1312742)
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English | Asymptotic approximation of the solution of a random boundary value problem containing small white noise |
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Asymptotic approximation of the solution of a random boundary value problem containing small white noise (English)
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19 May 1994
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When a random boundary value problem is considered for an Itô equation, the main difficulty is due to the fact that non-anticipativity necessary for the definition of the Itô integral is not always fulfilled. To avoid such difficulties one may use the extended Itô integral or look for integral representations of solutions as a composition of flows. A weak version of the original problem is defined and studied and when the white noise parameter is small, a more precise structure of the solution is given.
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random boundary value problem
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composition of flows
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structure of the solution
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