We consider linear nth order stochastic differential equations on $[0,1]$,
with linear boundary conditions supported by a finite subset of $[0,1]$.
We study some features of the solution to these problems, and especially
its conditional independence properties of Markovian type.
Publié le : 2003-10-14
Classification:
Linear stochastic differential equations,
conditional independence,
Markov property,
Markov fields,
convergence of conditional expectations,
60H10,
60J25
@article{1068646379,
author = {Alabert, Aureli and Ferrante, Marco},
title = {Linear stochastic differential equations with functional boundary conditions},
journal = {Ann. Probab.},
volume = {31},
number = {1},
year = {2003},
pages = { 2082-2108},
language = {en},
url = {http://dml.mathdoc.fr/item/1068646379}
}
Alabert, Aureli; Ferrante, Marco. Linear stochastic differential equations with functional boundary conditions. Ann. Probab., Tome 31 (2003) no. 1, pp. 2082-2108. http://gdmltest.u-ga.fr/item/1068646379/