Skorohod stochastic differential equations with boundary conditions

DOI10.1080/17442509308833862zbMath0795.60045OpenAlexW1970555965WikidataQ126243364 ScholiaQ126243364MaRDI QIDQ4286667

David Nualart, Rainer Buckdahn

Publication date: 29 August 1994

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509308833862

zbMATH Keywords

existence and uniquenessWiener spaceGirsanov transformsanticipative boundary conditionstochastic differential equations of Skorokhod type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items (4)

Linear stochastic differential equations and Wick products ⋮ Occupation densities of stratonovitch stochastic differential equations with boundary conditions ⋮ Linear Skorohod stochastic differential equations ⋮ Maximum likelihood estimation in Skorohod stochastic differential equations

Cites Work

• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• Boundary value problems for stochastic differential equations
• Skorohod stochastic differential equations of diffusion type

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