Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations (Q548350)

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Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations
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    Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations (English)
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    28 June 2011
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    The authors give sufficient and necessary conditions for the existence of adapted solutions of the two-point boundary value problem of a stochastic differential equation. The problem considered is in the form: \[ dX_t=f(t,X_t)dt+\sigma (t,X_t)dW_t,\quad AX_0+BX_T=\xi^*, \] where \(T>0\) is a fixed terminal time, \(A\) and \(B\) are two \(d\times d\) matrices, \(\{W(t),\,0\leq t\leq T\}\) is a \(k\)-dimensional standard Brownian motion defined on the probability space \(\{\Omega, F, P\}\) with the natural filtration \(\{F_t:0\leq t\leq T\}\), and \(\xi^*\) is a \(F_t\)-measurable \(R^d\)-valued random variable.
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    two-point boundary value problem
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    stochastic differential equation
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    variational approach
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    continuous dependence
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    Brownian motion
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