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ArticleLinear stochastic differential equations with boundary conditions

Daniel L. Ocone1989

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Articlebronze1989

Linear stochastic differential equations with boundary conditions

Daniel L. Ocone · Étienne Pardoux

58 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Differential Equations and Boundary Problems

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References

1988Stochastic calculus with anticipating integrands 1980Semi-Martingales et Grossissement d’une Filtration 1981Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions 1989A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations

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1991Linear skorohod stochastic differential equations 1991Second order stochastic differential equations with Dirichlet boundary conditions 2000Weak approximations. A Malliavin calculus approach 2004Volterra equations with fractional stochastic integrals 2002A characterization of reciprocal processes via an integration by parts formula on the path space 1991Equations différentielles stochastiques dans avec conditions aux bords

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Year1989

Typearticle

Published1989-08-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf00341281

openalex_workW2019659495

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