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A change of variables formula for stratonovich integrals and existence of solutions for two-point stochastic boundary value problems
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  • Published: September 1990

A change of variables formula for stratonovich integrals and existence of solutions for two-point stochastic boundary value problems

  • O. Zeitouni1 nAff2 &
  • A. Dembo1 nAff3 

Probability Theory and Related Fields volume 84, pages 411–425 (1990)Cite this article

  • 232 Accesses

  • 10 Citations

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Summary

Existence results for a class of two point non-adaptive stochastic boundary value problems are derived by combining a (new) change of variables formula with optimal control techniques. The class of equations treated is significantly wider than that for which previously known existence results apply.

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Author information

Author notes
  1. O. Zeitouni

    Present address: Department of Electrical Engineering, Technion, 32000, Haifa, Israel

  2. A. Dembo

    Present address: Information Systems Laboratory, Stanford University, 94305, Stanford, CA, USA

Authors and Affiliations

  1. LCDS, Division of Applied Mathematics, Brown University, 02912, Providence, RI, USA

    O. Zeitouni & A. Dembo

Authors
  1. O. Zeitouni
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  2. A. Dembo
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Additional information

This work was supported in part by the Chaim Weizmann Postdoctoral Fellowship

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Cite this article

Zeitouni, O., Dembo, A. A change of variables formula for stratonovich integrals and existence of solutions for two-point stochastic boundary value problems. Probab. Th. Rel. Fields 84, 411–425 (1990). https://doi.org/10.1007/BF01197893

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  • Received: 03 January 1989

  • Revised: 07 June 1989

  • Issue Date: September 1990

  • DOI: https://doi.org/10.1007/BF01197893

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Keywords

  • Stochastic Process
  • Probability Theory
  • Mathematical Biology
  • Existence Result
  • Control Technique
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