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

Brownian motioncontinuous dependencestochastic differential equationtwo-point boundary value problemvariational approach

Mathematics Subject Classification ID

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

Review text

The authors give sufficient and necessary conditions for the existence of adapted solutions of the two-point boundary value problem of a stochastic differential equation. The problem considered is in the form: \[ dX_t=f(t,X_t)dt+\sigma (t,X_t)dW_t,\quad AX_0+BX_T=\xi^*, \] where \(T>0\) is a fixed terminal time, \(A\) and \(B\) are two \(d\times d\) matrices, \(\{W(t),\,0\leq t\leq T\}\) is a \(k\)-dimensional standard Brownian motion defined on the probability space \(\{\Omega, F, P\}\) with the natural filtration \(\{F_t:0\leq t\leq T\}\), and \(\xi^*\) is a \(F_t\)-measurable \(R^d\)-valued random variable.

Recommendations

• Boundary value problems for stochastic differential equations
• Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition
• Boundary value problems for linear stochastic differential equations
• A stochastic two-point boundary value problem
• Adapted solutions and continuous dependence for nonlinear stochastic differential equations with terminal condition

Cites work

• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• 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)

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

This page was built for publication: Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q548350)