Linear stochastic differential equations with functional boundary conditions

• 成果类型: Article
• 署名作者: Alabert, A; Ferrante, M
• 署名单位: Autonomous University of Barcelona; University of Padua
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2003
• 页码: 2082-2108
• 关键词: reciprocal diffusions

摘要

We consider linear nth order stochastic differential equations on [0, 1], with linear boundary conditions supported by a finite subset of [0, 1]. We study some features of the solution to these problems, and especially its conditional independence properties of Markovian type.