Stochastic invariant imbedding. Application to stochastic differential equations with boundary conditions

DOI10.1007/BF01204217MaRDI QIDQ1900238zbMATH OpenOpenAlexFDO

Authors Josselin Garnier

Publication date 30 October 1995

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01204217

zbMATH Keywords

stochastic differential equationsinitial value problemaffine boundary conditionanticipating stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary value problems for functional-differential equations (34K10)

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Cites work

• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• scientific article; zbMATH DE number 3508918 (Why is no real title available?)
• A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• A generalized formula of Ito and some other properties of stochastic flows
• A limit theorem for linear boundary value problems in random media
• Boundary value problems for stochastic differential equations
• Equations différentielles stochastiques dans avec conditions aux bords
• Linear stochastic differential equations with boundary conditions
• Markov field property of stochastic differential equations
• Stochastic calculus with anticipating integrands

Cited in

(3)

• Weak approximations. A Malliavin calculus approach
• Skorohod stochastic differential equations with boundary conditions
• scientific article; zbMATH DE number 5591956 (Why is no real title available?)

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