Second order stochastic differential equations with Dirichlet boundary conditions

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dc.contributor.authorNualart, David, 1951-
dc.contributor.authorPardoux, Etienne
dc.date.accessioned2020-03-03T15:14:15Z
dc.date.available2020-03-03T15:14:15Z
dc.date.issued1990
dc.descriptionPreprint 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.abstractWe 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.extent25 p.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/2445/151847
dc.language.isoengca
dc.publisherUniversitat de Barcelonaca
dc.relation.isformatofReproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.18]
dc.relation.ispartofseriesMathematics Preprint Series; 78ca
dc.relation.urihttps://doi.org/10.1016/0304-4149(91)90028-B
dc.rights(c) David Nualart a et al., 1990
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
dc.sourcePreprints de Matemàtiques - Mathematics Preprint Series
dc.subject.classificationEquacions diferencials estocàstiques
dc.subject.classificationProcessos de Markov
dc.subject.otherUniversitat de Barcelona. Institut de Matemàtica
dc.titleSecond order stochastic differential equations with Dirichlet boundary conditionsca
dc.typeinfo:eu-repo/semantics/articleca
dc.typeinfo:eu-repo/semantics/submittedVersion

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