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

DOI10.1016/J.AMC.2011.02.101zbMATH Open1225.65012OpenAlexW2027767014MaRDI QIDQ548350FDOQ548350

Authors: Ning-Mao Xia, Ai-Hong Lin 

Publication date: 28 June 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.02.101

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zbMATH Keywords

stochastic differential equationBrownian motioncontinuous dependencevariational approachtwo-point boundary value problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Title not available (Why is that?)
• Solution of Troesch's two-point boundary value problem by a combination of techniques
• The method of moments for linear random initial value problems
• Numerical solution of a class of random boundary value problems
• Stochastic nonhomogeneous Sturm-Liouville problems
• The random eigenvalue problem for a differential equation containing small white noise
• The eigenfunction expansion of the solution for the nohomogeneous Sturm- Liouville problem containing white noise

Cited In (4)

• A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems
• Adapted solutions and continuous dependence for nonlinear stochastic differential equations with terminal condition
• Title not available (Why is that?)
• Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition

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