Second order stochastic differential equations with Dirichlet boundary conditions

Nualart, David; Pardoux, Etienne

Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/151847

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DC Field	Value	Language
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	https://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

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