Title of article
A second-order Stratonovich differential equation with boundary conditions
Author/Authors
Alabert، نويسنده , , Aureli and Nualart، نويسنده , , David، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
27
From page
21
To page
47
Abstract
In this paper we show that the solution of a second-order stochastic differential equation with diffusion coefficient σXdot1 and boundary conditions X0 = 0 and X1 = 1 is a 2-Markov field if and only if the drift is a linear function. The proof is based on the method of change of probability and makes use of the techniques of Malliavin calculus.
Keywords
stochastic differential equations , Markov fields , Non-causal stochastic calculus , Girsanov transformations
Journal title
Stochastic Processes and their Applications
Serial Year
1997
Journal title
Stochastic Processes and their Applications
Record number
1576064
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