Second order stochastic differential equations with Dirichlet boundary conditions
Preprint enviat per a la seva publicació en una revista científica: Stochastic Processes and their Applications. Volume 39, Issue 1, October 1991, Pages 1-24. [https://doi.org/10.1016/0304-4149(91)90028-B]
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión enviada para evaluación y publicación |
| Fecha de publicación: | 1990 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/151847 |
| Acceso en línea: | https://hdl.handle.net/2445/151847 |
| Access Level: | acceso abierto |
| Palabra clave: | Equacions diferencials estocàstiques Processos de Markov Universitat de Barcelona. Institut de Matemàtica |
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Second order stochastic differential equations with Dirichlet boundary conditionsNualart, David, 1951-Pardoux, EtienneEquacions diferencials estocàstiquesProcessos de MarkovUniversitat de Barcelona. Institut de MatemàticaPreprint enviat per a la seva publicació en una revista científica: Stochastic Processes and their Applications. Volume 39, Issue 1, October 1991, Pages 1-24. [https://doi.org/10.1016/0304-4149(91)90028-B]We consider the second order stochastic differential equation Xt + f(Xt, Xt) = Wt where t runs on the interval [0, 1], {Wt} is an ordinary Brownian motion and we impose the Dirichlet boundary conditions X(0) = a and X(l) = b. We show pathwise existence and uniqueness of a solution assuming sorne smoothness and monotonicity conditions on f, and we study the Markov property of the solution using an extended version of the Girsanov theorem dueto Kusuoka.Universitat de Barcelona1990info:eu-repo/semantics/articleinfo:eu-repo/semantics/submittedVersionapplication/pdfhttps://hdl.handle.net/2445/151847Preprints de Matemàtiques - Mathematics Preprint Seriesreponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésReproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.18]Mathematics Preprint Series; 78https://doi.org/10.1016/0304-4149(91)90028-B(c) David Nualart a et al., 1990info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1518472026-05-27T06:46:51Z |
| dc.title.none.fl_str_mv |
Second order stochastic differential equations with Dirichlet boundary conditions |
| title |
Second order stochastic differential equations with Dirichlet boundary conditions |
| spellingShingle |
Second order stochastic differential equations with Dirichlet boundary conditions Nualart, David, 1951- Equacions diferencials estocàstiques Processos de Markov Universitat de Barcelona. Institut de Matemàtica |
| title_short |
Second order stochastic differential equations with Dirichlet boundary conditions |
| title_full |
Second order stochastic differential equations with Dirichlet boundary conditions |
| title_fullStr |
Second order stochastic differential equations with Dirichlet boundary conditions |
| title_full_unstemmed |
Second order stochastic differential equations with Dirichlet boundary conditions |
| title_sort |
Second order stochastic differential equations with Dirichlet boundary conditions |
| dc.creator.none.fl_str_mv |
Nualart, David, 1951- Pardoux, Etienne |
| author |
Nualart, David, 1951- |
| author_facet |
Nualart, David, 1951- Pardoux, Etienne |
| author_role |
author |
| author2 |
Pardoux, Etienne |
| author2_role |
author |
| dc.subject.none.fl_str_mv |
Equacions diferencials estocàstiques Processos de Markov Universitat de Barcelona. Institut de Matemàtica |
| topic |
Equacions diferencials estocàstiques Processos de Markov Universitat de Barcelona. Institut de Matemàtica |
| description |
Preprint enviat per a la seva publicació en una revista científica: Stochastic Processes and their Applications. Volume 39, Issue 1, October 1991, Pages 1-24. [https://doi.org/10.1016/0304-4149(91)90028-B] |
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1990 |
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1990 |
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info:eu-repo/semantics/article info:eu-repo/semantics/submittedVersion |
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article |
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submittedVersion |
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https://hdl.handle.net/2445/151847 |
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https://hdl.handle.net/2445/151847 |
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Inglés |
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Inglés |
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Reproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.18] Mathematics Preprint Series; 78 https://doi.org/10.1016/0304-4149(91)90028-B |
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(c) David Nualart a et al., 1990 info:eu-repo/semantics/openAccess |
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(c) David Nualart a et al., 1990 |
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openAccess |
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application/pdf |
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Universitat de Barcelona |
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Universitat de Barcelona |
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Preprints de Matemàtiques - Mathematics Preprint Series reponame:Dipòsit Digital de la UB instname:Universidad de Barcelona |
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Universidad de Barcelona |
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Dipòsit Digital de la UB |
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15,300719 |