BOUNDARY-VALUE-PROBLEMS FOR STOCHASTIC DIFFERENTIAL-EQUATIONS

• 成果类型: Article
• 署名作者: NUALART, D; PARDOUX, E
• 署名单位: Aix-Marseille Universite
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176990337
• 发表日期: 1991
• 页码: 1118-1144
• 关键词: calculus

摘要

In this paper, we study stochastic differential equations with boundary conditions at the endpoints of a time interval (instead of the customary initial condition). We present existence and uniqueness results and study the Markov property of the solution. In the one-dimensional case, we prove that the solution is a Markov field iff the drift is affine.