scientific article; zbMATH DE number 4178262

MaRDI QIDQ3201184zbMATH OpenFDO

Authors Etienne Pardoux

Publication date 1990

zbMATH Keywords

anticipating integralsstochastic differential equations with boundary conditions

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25)

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(15)

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• Stochastic invariant imbedding. Application to stochastic differential equations with boundary conditions
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• Backward Itô-Ventzell and stochastic interpolation formulae
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