Linear stochastic differential equations with functional boundary conditions
نویسندگان
چکیده
منابع مشابه
Linear stochastic differential equations with functional boundary conditions
We consider linear n-th order stochastic differential equations on [0, 1], with linear boundary conditions supported by a finite subset of [0, 1]. We study some features of the solution to these problems, and especially its conditional independence properties of Markovian type. AMS Classification: 60H10, 60J25 Supported by grants SGR99-87 of CIRIT and BFM2000-0009 of DGESIC Supported by grant C...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2003
ISSN: 0091-1798
DOI: 10.1214/aop/1068646379