Abstract:
Stochastic differential equation of the form
dξt=Aξtdt+Bdη0t,t∈I=(t0,t1),dξt=Aξtdt+Bdη0t,t∈I=(t0,t1),
are considered for a generalized random field
ξt≡(φ,ξt),φ∈C∞0(G),ξt≡(φ,ξt),φ∈C∞0(G),
in the domain G⊆Rd with stochastic boundary conditions on the boundary corresponding to an operator A⩽0 and an extremal operator coefficient B (strengthening the chaotic source dη0t of ‘white noise’ type).
Citation:
S. A. Albeverio, T. J. Lyons, Yu. A. Rozanov, “On boundary conditions for stochastic evolution equations with an extremally chaotic source”, Sb. Math., 186:12 (1995), 1693–1709