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http://hdl.handle.net/2445/151847
Title: | Second order stochastic differential equations with Dirichlet boundary conditions |
Author: | Nualart, David, 1951- Pardoux, Etienne |
Keywords: | Equacions diferencials estocàstiques Processos de Markov Universitat de Barcelona. Institut de Matemàtica |
Issue Date: | 1990 |
Publisher: | Universitat de Barcelona |
Series/Report no: | Mathematics Preprint Series; 78 |
Abstract: | We consider the second order stochastic differential equation Xt + f(Xt, Xt) = Wt where t runs on the interval [0, 1], {Wt} is an ordinary Brownian motion and we impose the Dirichlet boundary conditions X(0) = a and X(l) = b. We show pathwise existence and uniqueness of a solution assuming sorne smoothness and monotonicity conditions on f, and we study the Markov property of the solution using an extended version of the Girsanov theorem dueto Kusuoka. |
Note: | Preprint enviat per a la seva publicació en una revista científica: Stochastic Processes and their Applications. Volume 39, Issue 1, October 1991, Pages 1-24. [https://doi.org/10.1016/0304-4149(91)90028-B] |
Note: | Reproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.18] |
URI: | http://hdl.handle.net/2445/151847 |
Related resource: | https://doi.org/10.1016/0304-4149(91)90028-B |
Appears in Collections: | Preprints de Matemàtiques - Mathematics Preprint Series |
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File | Description | Size | Format | |
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MPS_N078.pdf | 889.2 kB | Adobe PDF | View/Open |
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