Linear stochastic differential equations with functional boundary conditions
classification
🧮 math.PR
keywords
linearboundaryconditionsdifferentialequationsstochasticconditionalconsider
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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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