Linear stochastic differential equations with functional boundary conditions

Details Linear stochastic differential equations with functional boundary conditions Linear stochastic differential equations with functional boundary conditions

2002-03-05

arxiv.org/abs/math/0203041v1

Mathematics

Probability

25 pages

Scientific paper

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.

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