Linear stochastic differential equations with functional boundary conditions

Aureli Alabert; Marco Ferrante

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Linear stochastic differential equations with functional boundary conditions

Aureli Alabert·Marco Ferrante

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Abstract

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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Aureli Alabert, Marco Ferrante. 2002-03-05. Linear stochastic differential equations with functional boundary conditions. https://arxiv.org/abs/math/0203041

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