Summary
We study stochastic differential equations of the type:
Instead of the customary initial value problem, where the initial valuex 0 is fixed, we impose an affine boundary condition:
whereh 0,h 1 are deterministic matrices andv 0 is a fixed vector. Our main aim is to prove existence and uniqueness results for such anticipating stochastic differential equations.
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Garnier, J. Stochastic invariant imbedding. Probab. Th. Rel. Fields 103, 249–271 (1995). https://doi.org/10.1007/BF01204217
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DOI: https://doi.org/10.1007/BF01204217
Mathematics Subject Classification (1991)
- 34K10
- 60H10