ATTENTION: The software behind KU ScholarWorks is being upgraded to a new version. Starting July 15th, users will not be able to log in to the system, add items, nor make any changes until the new version is in place at the end of July. Searching for articles and opening files will continue to work while the system is being updated.
If you have any questions, please contact Marianne Reed at mreed@ku.edu .
Boundary Value Problems for Stochastic Differential Equations
| 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 |
