Uniqueness in law for stochastic boundary value problems
From MaRDI portal
Publication:650171
Malliavin calculuspathwise uniquenessuniqueness in lawanticipative Girsanov theoremsecond-order ordinary SDEsstochastic boundary value problems
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)
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.
Recommendations
Cites work
- scientific article; zbMATH DE number 3833013 (Why is no real title available?)
- scientific article; zbMATH DE number 3719745 (Why is no real title available?)
- scientific article; zbMATH DE number 3766528 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 57390 (Why is no real title available?)
- scientific article; zbMATH DE number 1380631 (Why is no real title available?)
- scientific article; zbMATH DE number 3806227 (Why is no real title available?)
- scientific article; zbMATH DE number 3245885 (Why is no real title available?)
- scientific article; zbMATH DE number 3270874 (Why is no real title available?)
- A second-order Stratonovich differential equation with boundary conditions
- Applications of the degree theorem to absolute continuity on Wiener space
- Boundary value problems for stochastic differential equations
- Degree theory for Wiener maps
- Linear stochastic differential equations with boundary conditions
- Markov property for elliptic stochastic partial differential equations
- Nonresonance and existence for nonlinear elliptic boundary value problems
- On a characterization of the Sobolev spaces over an abstract Wiener space
- On nonlinear transformations of Gaussian measures
- Quasi-Linear Elliptic Stochastic Partial Differential Equation: Markov property
- Second order stochastic differential equations with Dirichlet boundary conditions
- Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems
- Some exponential moment inequalities for the Wiener functionals
- Stochastic calculus with anticipating integrands
- The Malliavin Calculus and Related Topics
- Traces and determinants of linear operators
Cited in
(6)- Uniqueness for diffusions degenerating at the boundary of a smooth bounded set
- scientific article; zbMATH DE number 2050991 (Why is no real title available?)
- Stochastic invariant imbedding. Application to stochastic differential equations with boundary conditions
- Stochastic calculus and degenerate boundary value problems
- Stochastic Newtonian equations with mean boundary conditions
- Pathwise definition of second-order SDEs
This page was built for publication: Uniqueness in law for stochastic boundary value problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q650171)
