Stochastic boundary value problems

DOI10.1016/0378-4754(84)90004-1MaRDI QIDQ796898zbMATH OpenOpenAlexFDO

Authors V. Lakshmikantham

Publication date 1984

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(84)90004-1

zbMATH Keywords

mean boundary value problemstochastic boundary value problem

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Two theorems are stated on the existence of a sample solution process of the stochastic boundary value problem \[ x(t,\omega)=f(t,x(t,\omega),x'(t,\omega),\omega) \] \[ B_ 0(\omega)\times(0,\omega)=b_ 0(\omega),\quad B_ 1(\omega)\times(1,\omega)=b_ 1(\omega). \] A theorem is given which establishes the existence of two sequences: one that converges uniformly and monotonically with probability 1 to the sample minimal solution process and one to the sample maximal solution process. An upper bound is given for the difference between the sample solution process of the stochastic boundary value problem and the solution of the corresponding mean boundary value problem.

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Cites work

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• On the fundamental theory of nonlinear second order stochastic boundary value problems
• Random differential inequalities
• Stochastic Analysis of a Compressible Gas Lubrication Slider Bearing Problem

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• Sample solutions of stochastic boundary value problems^∗
• On the method of sample upper and lower solutions for stochastic differential equations
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