publication . Other literature type . Article . 1991

Boundary Value Problems for Stochastic Differential Equations

D. Nualart; E. Pardoux;
Open Access English
  • Published: 01 Jul 1991
  • Publisher: The Institute of Mathematical Statistics
Abstract
A theory of two-point boundary value problems analogous to the theory of initial value problems for stochastic ordinary differential equations whose solutions form Markov processes is developed. The theory of initial value problems consists of three main parts: the proof that the solution process is markovian and diffusive; the construction of the Kolmogorov or Fokker-Planck equation of the process; and the proof that the transistion probability density of the process is a unique solution of the Fokker-Planck equation. It is assumed here that the stochastic differential equation under consideration has, as an initial value problem, a diffusive markovian solution...
Subjects
free text keywords: Stochastic differential equations, equations with boundary conditions, Markov processes, Markov fields, 34K10, 60H10, Applied Mathematics, Statistics, Probability and Uncertainty, Statistics and Probability, Stochastic differential equation, Runge–Kutta method, symbols.namesake, symbols, Examples of differential equations, Mixed boundary condition, Stochastic partial differential equation, Mathematical analysis, Free boundary problem, Boundary value problem, Mathematics, Numerical partial differential equations
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Other literature type . Article . 1991

Boundary Value Problems for Stochastic Differential Equations

D. Nualart; E. Pardoux;