Triangular stochastic differential equations with boundary conditions

zbMath0795.60051MaRDI QIDQ1315174

Marco Ferrante

Publication date: 7 March 1994

Published in: Rendiconti del Seminario Matematico della Università di Padova (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=RSMUP_1993__90__159_0

zbMATH Keywords

Brownian motionstochastic differential equationsboundary conditionMarkov propertyMarkov field

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

The Picard boundary value problem for a third order stochastic difference equation ⋮ On a stochastic delay difference equation with boundary conditions and its Markov property ⋮ Penalization methods for the Skorokhod problem and reflecting SDEs with jumps ⋮ Triangular stochastic differential equations with boundary conditions

Cites Work

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• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Boundary value problems for stochastic differential equations
• The Onsager-Machlup functional for a class of anticipating processes
• Triangular stochastic differential equations with boundary conditions
• Reciprocal processes

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