Stochastic invariant imbedding. Application to stochastic differential equations with boundary conditions

DOI10.1007/BF01204217zbMath0830.60051OpenAlexW2333441418MaRDI QIDQ1900238

Josselin Garnier

Publication date: 30 October 1995

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

Full work available at URL: https://doi.org/10.1007/bf01204217

zbMATH Keywords

stochastic differential equationsinitial value problemaffine boundary conditionanticipating stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary value problems for functional-differential equations (34K10)

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An adaptive algorithm for solving stochastic multi-point boundary value problems ⋮ Weak approximations. A Malliavin calculus approach

Cites Work

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