| dc.contributor.author | Nualart, David | |
| dc.contributor.author | Pardoux, E. | |
| dc.date.accessioned | 2015-03-11T21:32:02Z | |
| dc.date.available | 2015-03-11T21:32:02Z | |
| dc.date.issued | 1991 | |
| dc.identifier.citation | Nualart, D.; Pardoux, E. Boundary Value Problems for Stochastic Differential Equations. Ann. Probab. 19 (1991), no. 3, 1118--1144. http://dx.doi.org/10.1214/aop/1176990337. | en_US |
| dc.identifier.uri | http://hdl.handle.net/1808/17060 | |
| dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176990337. | en_US |
| dc.description.abstract | 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. | en_US |
| dc.publisher | Institute of Mathematical Statistics (IMS) | en_US |
| dc.subject | Stochastic differential equations | en_US |
| dc.subject | equations with boundary conditions | en_US |
| dc.subject | Markov processes | en_US |
| dc.subject | Markov fields | en_US |
| dc.title | Boundary Value Problems for Stochastic Differential Equations | en_US |
| dc.type | Article | |
| kusw.kuauthor | Nualart, David | |
| kusw.kudepartment | Mathematics | en_US |
| dc.identifier.doi | 10.1214/aop/1176990337 | |
| kusw.oaversion | Scholarly/refereed, publisher version | |
| kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
| dc.rights.accessrights | openAccess | |
