Second order stochastic differential equations with Dirichlet boundary conditions

DOI10.1016/0304-4149(91)90028-BzbMath0745.60061MaRDI QIDQ1180169

Etienne Pardoux, David Nualart

Publication date: 27 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

boundary conditions; pathwise existence and uniqueness

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Occupation densities of stratonovitch stochastic differential equations with boundary conditions, Weak approximations. A Malliavin calculus approach, Markov property of stationary, discrete, quasi-linear equations, The Picard boundary value problem for a third order stochastic difference equation, Linear stochastic differential equations with functional boundary conditions., Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm, Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems

Cites Work

• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• Boundary value problems for stochastic differential equations
• On nonlinear transformations of Gaussian measures
• Gaussiann-Markovian processes and stochastic boundary value problems
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item