# name
Second order stochastic differential equations with Dirichlet boundary conditions

# metadata.dc.description[].value
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]

# metadata.dc.description.abstract[].value
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.

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Reproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.18]

# metadata.dc.source[].value
Preprints de Matemàtiques - Mathematics Preprint Series

# metadata.dc.subject.other[].value
Universitat de Barcelona. Institut de Matemàtica

# metadata.dc.title[].value
Second order stochastic differential equations with Dirichlet boundary conditions