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.
Linear stochastic differential equations with functional boundary conditions
FERRANTE, MARCO;
2003
Abstract
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.File in questo prodotto:
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