Two-point boundary value problem for linear stochastic differential equations

Author:

Repnin Ruslan

Abstract

We present the extension of the two-point boundary problem in the case where the problem doesn’t always have a unique solution or the condition on boundary coefficients described in [Linear stochastic differential equations with boundary conditions, Probab. Th. Rel. Fields, 82, 489–526 (1989)] is not satisfied.

Publisher

SIGMA (Symmetry, Integrability and Geometry: Methods and Application)

Reference9 articles.

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3. 3. S. M. Prigarin, N. V. Fedchenko, Solution of boundary-value problems for linear systems of stochastic differential equations, Sib. Zh. Vychisl. Mat., 7, № 4, 345-361 (2004).

4. 4. A. Alabert, M. Ferrante, Linear stochastic differential equations with functional boundary conditions, Ann. Probab, 31, № 4, 2082-2108 (2003).

5. 5. E. Yu. Mashkov, On the stochastic systems of differential-algebraic type, J. Comput. Eng. Math., 1, № 1, 34-45 (2014).

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