Boundary Value Problems for Stochastic Differential Equations

Citation

MacDowell, Thomas William (1968) Boundary Value Problems for Stochastic Differential Equations. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/JR7J-9W71. https://resolver.caltech.edu/CaltechTHESIS:04022013-104632972

Abstract

A theory of two-point boundary value problems analogous to the theory of initial value problems for stochastic ordinary differential equations whose solutions form Markov processes is developed. The theory of initial value problems consists of three main parts: the proof that the solution process is markovian and diffusive; the construction of the Kolmogorov or Fokker-Planck equation of the process; and the proof that the transistion probability density of the process is a unique solution of the Fokker-Planck equation.

It is assumed here that the stochastic differential equation under consideration has, as an initial value problem, a diffusive markovian solution process. When a given boundary value problem for this stochastic equation almost surely has unique solutions, we show that the solution process of the boundary value problem is also a diffusive Markov process. Since a boundary value problem, unlike an initial value problem, has no preferred direction for the parameter set, we find that there are two Fokker-Planck equations, one for each direction. It is shown that the density of the solution process of the boundary value problem is the unique simultaneous solution of this pair of Fokker-Planck equations.

This theory is then applied to the problem of a vibrating string with stochastic density.

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