A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems

DOI10.1007/BF01197893zbMath0685.60047MaRDI QIDQ1826207

Amir Dembo, Ofer Zeitouni

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

changeof variables formulatwo point non-adaptive stochastic boundary value problems

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stochastic integrals (60H05)

Related Items (8)

Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems ⋮ Stochastic invariant imbedding. Application to stochastic differential equations with boundary conditions ⋮ Existence and uniqueness for variational data assimilation in continuous time ⋮ Erratum: Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm ⋮ An adaptive algorithm for solving stochastic multi-point boundary value problems ⋮ Unnamed Item ⋮ Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems ⋮ Weak approximations. A Malliavin calculus approach

Cites Work

• The Malliavin calculus
• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions
• Équations du filtrage non linéaire de la prédiction et du lissage
• A maximum a posteriori estimator for trajectories of diffusion processes
• Unnamed Item
• Unnamed Item

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