Some remarks on boundary value problems for linear stochastic differential equations
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The authors consider the linear stochastic differential equation \[ dx_ t=(A(t)x_ t+a(t))dt+(B_ i(t)x_ t+b_ i(t))dw\quad i_ t \] with condition \(Lx=y\), L:L \(2(\Omega,F_ T,C(O,T))\to L\) \(2(\Omega,F_ T)\), on the probability space \((\Omega,F,(F_ t)_{t\geq 0},P)\). It is shown that the set of y solving the above equation is nowhere dense in L \(2(\Omega,F_ T)\).
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Cites work
- Gaussiann-Markovian processes and stochastic boundary value problems
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 3289807 (Why is no real title available?)
- On boundary value problems for ordinary differential equations
- On random boundary value problems for ordinary differential equations
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