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http://hdl.handle.net/2445/151847
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DC Field | Value | Language |
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dc.contributor.author | Nualart, David, 1951- | - |
dc.contributor.author | Pardoux, Etienne | - |
dc.date.accessioned | 2020-03-03T15:14:15Z | - |
dc.date.available | 2020-03-03T15:14:15Z | - |
dc.date.issued | 1990 | - |
dc.identifier.uri | http://hdl.handle.net/2445/151847 | - |
dc.description | 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] | ca |
dc.description.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. | ca |
dc.format.extent | 25 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.publisher | Universitat de Barcelona | ca |
dc.relation.isformatof | Reproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.18] | - |
dc.relation.ispartofseries | Mathematics Preprint Series; 78 | ca |
dc.relation.uri | https://doi.org/10.1016/0304-4149(91)90028-B | - |
dc.rights | (c) David Nualart a et al., 1990 | - |
dc.source | Preprints de Matemàtiques - Mathematics Preprint Series | - |
dc.subject.classification | Equacions diferencials estocàstiques | - |
dc.subject.classification | Processos de Markov | - |
dc.subject.other | Universitat de Barcelona. Institut de Matemàtica | - |
dc.title | Second order stochastic differential equations with Dirichlet boundary conditions | ca |
dc.type | info:eu-repo/semantics/article | ca |
dc.type | info:eu-repo/semantics/submittedVersion | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
Appears in Collections: | Preprints de Matemàtiques - Mathematics Preprint Series |
Files in This Item:
File | Description | Size | Format | |
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MPS_N078.pdf | 889.2 kB | Adobe PDF | View/Open |
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