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arXiv:math/0203041 [math.PR]AbstractReferencesReviewsResources

Linear stochastic differential equations with functional boundary conditions

Aureli Alabert, Marco Ferrante

Published 2002-03-05Version 1

We consider linear n-th 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.

Comments: 25 pages
Categories: math.PR
Subjects: 60H10, 60J25
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