Triangular stochastic differential equations with boundary conditions

Marco Ferrante

Rendiconti del Seminario Matematico della Università di Padova (1993)

  • Volume: 90, page 159-188
  • ISSN: 0041-8994

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Ferrante, Marco. "Triangular stochastic differential equations with boundary conditions." Rendiconti del Seminario Matematico della Università di Padova 90 (1993): 159-188. <http://eudml.org/doc/108300>.

@article{Ferrante1993,
author = {Ferrante, Marco},
journal = {Rendiconti del Seminario Matematico della Università di Padova},
keywords = {stochastic differential equations; Markov property; Brownian motion; Markov field; boundary condition},
language = {eng},
pages = {159-188},
publisher = {Seminario Matematico of the University of Padua},
title = {Triangular stochastic differential equations with boundary conditions},
url = {http://eudml.org/doc/108300},
volume = {90},
year = {1993},
}

TY - JOUR
AU - Ferrante, Marco
TI - Triangular stochastic differential equations with boundary conditions
JO - Rendiconti del Seminario Matematico della Università di Padova
PY - 1993
PB - Seminario Matematico of the University of Padua
VL - 90
SP - 159
EP - 188
LA - eng
KW - stochastic differential equations; Markov property; Brownian motion; Markov field; boundary condition
UR - http://eudml.org/doc/108300
ER -

References

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  1. [1] M. Cheleyat-Maurel - D. Nualart, Onsager-Machlup functional for a class of anticipating processes, preprint. Zbl0767.60047
  2. [2] M. Ferrante, Stochastic differential equations with boundary conditions, M. Ph. Thesis SISSA, Trieste (Academic Year 1990/91). 
  3. [3] B. Jamison, Reciprocal processes, Z. Wahrsch. Verb. Gebiete, 30 (1974), pp. 65-86. Zbl0326.60033MR359016
  4. [4] S. Kusuoka, The nonlinear transformation of Gaussian measure on Banach space and its absolutely continuity, I, J. Fac. Science, Tokyo Univ., Sec. IA (1982), pp. 567-597. Zbl0525.60050MR687592
  5. [5] D. Nualart, Stochastic Calculus for Anticipating Processes, Publicacions del Dep. d'Estadistica, Univ. de Barcelona (1990). 
  6. [6] D. Nualart - E. Pardoux, Stochastic calculus with anticipating integrands, Probab. Theory Rel. Fields, 78 (1988), pp. 545-581. Zbl0629.60061MR950346
  7. [7] D. Nualart - E. Pardoux, Boundary value problems for stochastic differential equations, Ann. Prob., 19, (3) (1991), pp. 1118-1144. Zbl0736.60052MR1112409
  8. [8] D. Ocone - E. PARDOUX, A generalized Itô-Venzell formula. Application to a class of anticipating stochastic differential equations, Ann. Inst. Henri Poincaré, 25 (1) (1989), pp. 39-71. Zbl0674.60057MR995291
  9. [9] D. Ocone - E. Pardoux, Linear stochastic differential equations with boundary conditions, Probab. Theory Rel. Fields, 82 (1989), pp. 439-526. Zbl0661.60069MR1002898
  10. [10] F. Smithies, Integral Equations, Cambridge Tracts in Mathematics and Mathematical Physics, Cambridge University Press (1958). Zbl0082.31901MR104991

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