Uniqueness in law for stochastic boundary value problems

DOI10.1007/S10884-010-9182-1zbMATH Open1253.60070arXiv0910.2886OpenAlexW2008812692MaRDI QIDQ650171FDOQ650171

Anna Capietto, E. Priola

Publication date: 25 November 2011

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

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.

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

zbMATH Keywords

Malliavin calculuspathwise uniquenessuniqueness in lawanticipative Girsanov theoremsecond-order ordinary SDEsstochastic boundary value problems

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) 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)

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Cited In (6)

• Uniqueness for diffusions degenerating at the boundary of a smooth bounded set
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• Stochastic invariant imbedding. Application to stochastic differential equations with boundary conditions
• Stochastic calculus and degenerate boundary value problems
• Pathwise definition of second-order SDEs

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