An Example of a Non-Markovian Stochastic Two-Point Boundary Value Problem
نویسندگان
چکیده
منابع مشابه
An example of a non-Markovian stochastic two-point boundary value problem
with the af®ne boundary condition F0 X 0 F1 X 1 f : (1:2) Ocone and Pardoux (1989) provide necessary and suf®cient conditions for the existence and uniqueness of a solution and establish suf®cient conditions for the solution to be a Markov ®eld. The Markov ®eld property was studied by means of the co-area formula. In the Gaussian case (i.e., Bi 0 for all i) the Markov ®eld property is alw...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 1997
ISSN: 1350-7265
DOI: 10.2307/3318454