Two-Point Boundary-Value Problem for Linear Stochastic Differential Equations
摘要
We present an extension of the two-point boundary problem either in the case where the problem is not always uniquely solvable or in the case where the condition imposed on the boundary coefficients and described in [D. Ocone and E. Pardoux, Probab. Theory Rel. Fields, 82, 489 (1989)] is not satisfied.