Summary
Existence results for a class of two point non-adaptive stochastic boundary value problems are derived by combining a (new) change of variables formula with optimal control techniques. The class of equations treated is significantly wider than that for which previously known existence results apply.
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This work was supported in part by the Chaim Weizmann Postdoctoral Fellowship
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Zeitouni, O., Dembo, A. A change of variables formula for stratonovich integrals and existence of solutions for two-point stochastic boundary value problems. Probab. Th. Rel. Fields 84, 411–425 (1990). https://doi.org/10.1007/BF01197893
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DOI: https://doi.org/10.1007/BF01197893