Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations

DOI10.1016/J.AMC.2011.02.101zbMath1225.65012OpenAlexW2027767014MaRDI QIDQ548350

Ai-Hong Lin, Ning-Mao Xia

Publication date: 28 June 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.02.101

zbMATH Keywords

stochastic differential equationBrownian motionvariational approachtwo-point boundary value problemcontinuous dependence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• The eigenfunction expansion of the solution for the nohomogeneous Sturm- Liouville problem containing white noise
• The method of moments for linear random initial value problems
• Numerical solution of a class of random boundary value problems
• Stochastic nonhomogeneous Sturm-Liouville problems
• Solution of Troesch's two-point boundary value problem by a combination of techniques
• The random eigenvalue problem for a differential equation containing small white noise
• Backward Stochastic Differential Equations in Finance

This page was built for publication: Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations