Linear stochastic differential equations with functional boundary conditions

被引：0

作者：

Alabert, A ^{[1
]}

Ferrante, M

机构：

[1] Univ Autonoma Barcelona, Dept Matemat, Bellaterra 08193, Spain

[2] Univ Padua, Dipartimento Matemat Pura & Applicata, I-35131 Padua, Italy

来源：

ANNALS OF PROBABILITY | 2003年 / 31卷 / 04期

关键词：

linear stochastic differential equations; conditional independence; Markov property; Markov fields; convergence of conditional expectations;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：2082 / 2108

页数：27

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