Uniqueness in law for stochastic boundary value problems (Q650171)
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scientific article
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| English | Uniqueness in law for stochastic boundary value problems |
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Uniqueness in law for stochastic boundary value problems (English)
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25 November 2011
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Existence and uniqueness of solutions for (anticipating) boundary value problems of second-order ordinary stochastic differential equations are studied. Sufficient conditions to ensure pathwise uniqueness in the case of Dirichlet boundary conditions are provided. Furthermore, Malliavian calculus is used to prove uniqueness in law.
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stochastic boundary value problems
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second-order ordinary SDEs
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anticipative Girsanov theorem
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pathwise uniqueness
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uniqueness in law
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Malliavin calculus
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0.8038460612297058
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0.7998255491256714
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0.7846081852912903
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