This article is cited in 14 papers

On stochastic differential equations with boundary conditions in a half-plane

S. V. Anulova


Abstract: Existence theorems are proved for solutions of stochastic differential equations with boundary conditions in a Euclidean half-space. The existence of Markov processes with given characteristics in a half-space is deduced from these theorems. The case of discontinuous coefficients is included. The usual nondegeneracy condition for the normal component of diffusion near the boundary is replaced in part by the nondegeneracy of the jump component.
Bibliography: 15 titles.

UDC: 519.2

MSC: Primary 60H10, 60J25; Secondary 60H05

Received: 21.10.1977
Revised: 19.11.1980

 English version: Mathematics of the USSR-Izvestiya, 1982, 18:3, 423–437

Bibliographic databases:

• 
•