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

DOI10.1016/J.AMC.2011.02.101MaRDI QIDQ548350zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Numerical solution of a class of random boundary value problems
• Solution of Troesch's two-point boundary value problem by a combination of techniques
• Stochastic nonhomogeneous Sturm-Liouville problems
• The eigenfunction expansion of the solution for the nohomogeneous Sturm- Liouville problem containing white noise
• The method of moments for linear random initial value problems
• The random eigenvalue problem for a differential equation containing small white noise

Cited in

(4)

• Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition
• scientific article; zbMATH DE number 4088634 (Why is no real title available?)
• Adapted solutions and continuous dependence for nonlinear stochastic differential equations with terminal condition
• A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems

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