Linear stochastic differential equations with functional boundary conditions

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We consider linear n-th 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.
25 pages

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Probability, 60H10; 60J25

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http://salesiana.dossiersoluciones.com/handle/123456789/63494

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0203041
 http://arxiv.org/abs/math/0203041

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arXiv