Uniqueness in law for stochastic boundary value problems

DOI10.1007/S10884-010-9182-1MaRDI QIDQ650171zbMATH OpenOpenAlexFDO

Authors Anna Capietto, E. Priola

Publication date 25 November 2011

Published in Journal of Dynamics and Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.2886

zbMATH Keywords

anticipative Girsanov theoremMalliavin calculuspathwise uniquenesssecond-order ordinary SDEsstochastic boundary value problemsuniqueness in law

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: We study existence and uniqueness of solutions for second order ordinary stochastic differential equations with Dirichlet boundary conditions on a given interval. In the first part of the paper we provide sufficient conditions to ensure pathwise uniqueness, extending some known results. In the second part we show sufficient conditions to have the weaker concept of uniqueness in law and provide a significant example. Such conditions involve a linearized equation and are of different type with respect to the ones which are usually imposed to study pathwise uniqueness. This seems to be the first paper which deals with uniqueness in law for (anticipating) stochastic boundary value problems. We mainly use functional analytic tools and some concepts of Malliavin Calculus.

Review text

Existence and uniqueness of solutions for (anticipating) boundary value problems of second-order ordinary stochastic differential equations are studied. Sufficient conditions to ensure pathwise uniqueness in the case of Dirichlet boundary conditions are provided. Furthermore, Malliavian calculus is used to prove uniqueness in law.

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Cited in

(7)

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• Uniqueness for diffusions degenerating at the boundary of a smooth bounded set
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