Linear stochastic differential equations with functional boundary conditions

Aureli Alabert; Marco Ferrante

doi:https://doi.org/10.1214/aop/1068646379

Linear stochastic differential equations with functional boundary conditions

Aureli Alabert, Marco Ferrante

Department of Mathematics

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	2082-2108
Journal	Annals of Probability
Volume	31
DOIs	https://doi.org/10.1214/aop/1068646379
Publication status	Published - 1 Oct 2003

Keywords

Conditional independence
Convergence of conditional expectations
Linear stochastic differential equations
Markov fields
Markov property

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https://doi.org/10.1214/aop/1068646379

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title = "Linear stochastic differential equations with functional boundary conditions",

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.",

keywords = "Conditional independence, Convergence of conditional expectations, Linear stochastic differential equations, Markov fields, Markov property",

author = "Aureli Alabert and Marco Ferrante",

year = "2003",

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AU - Alabert, Aureli

AU - Ferrante, Marco

PY - 2003/10/1

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N2 - 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.

AB - 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.

KW - Conditional independence

KW - Convergence of conditional expectations

KW - Linear stochastic differential equations

KW - Markov fields

KW - Markov property

U2 - https://doi.org/10.1214/aop/1068646379

DO - https://doi.org/10.1214/aop/1068646379

M3 - Article

SN - 0091-1798

VL - 31

SP - 2082

EP - 2108

JO - Annals of Probability

JF - Annals of Probability

ER -

Linear stochastic differential equations with functional boundary conditions

Abstract

Keywords

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