Linear stochastic differential equations with functional boundary conditions
Probability
2007-05-23 v1
Abstract
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.
Cite
@article{arxiv.math/0203041,
title = {Linear stochastic differential equations with functional boundary conditions},
author = {Aureli Alabert and Marco Ferrante},
journal= {arXiv preprint arXiv:math/0203041},
year = {2007}
}
Comments
25 pages