LINEAR STOCHASTIC DIFFERENTIAL-EQUATIONS WITH BOUNDARY-CONDITIONS

被引：39
作者：
OCONE, D
PARDOUX, E
机构：
[1] INST ADV STUDY,PRINCETON,NJ 08540
[2] UNIV AIX MARSEILLE 1,UA 225,F-13331 MARSEILLE 3,FRANCE
来源：
PROBABILITY THEORY AND RELATED FIELDS | 1989年 / 82卷 / 04期
关键词：
D O I：
10.1007/BF00341281
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
引用
收藏
页码：489 / 526
页数：38
相关论文
共 18 条
[1]   LINEAR-ESTIMATION OF BOUNDARY-VALUE STOCHASTIC-PROCESSES .1. THE ROLE AND CONSTRUCTION OF COMPLEMENTARY MODELS [J].
ADAMS, MB ;
WILLSKY, AS ;
LEVY, BC .
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1984, 29 (09) :803-811
[2]  
BISMUT JM, 1981, VERW GEB, V56, P469
[3]  
BOULEAU N, 1986, 20 SEM PROB
[4]  
CHAY S. C., 1972, J MULTIVARIATE ANAL, V2, P14
[5]  
CINLAR E, RANDOM CIRCLES FIELD
[6]  
Ethier S.N., 1986, MARKOV PROCESSES CHA
[7]  
Federer H., 1969, GRUNDLEHREN MATH WIS
[8]  
Helgason S., 1979, DIFFERENTIAL GEOMETR
[9]   RECIPROCAL PROCESSES [J].
JAMISON, B .
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1974, 30 (01) :65-86
[10]   RECIPROCAL PROCESSES - STATIONARY GAUSSIAN CASE [J].
JAMISON, B .
ANNALS OF MATHEMATICAL STATISTICS, 1970, 41 (05) :1624-&
12