Geodesic
Solution of boundary value problems for linear systems of stochastic differential equations
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 7 (2004) no. 4, pp. 345-361

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The paper deals with methods to solve boundary value problems for linear systems of stochastic differential equations. We investigate numerical algorithms, the problem of existence and uniqueness of solutions, and other more specific problems (including steady-state boundary value problems, reduction of a boundary value problem to a Cauchy problem, extended boundary value problems, active and passive boundary conditions, etc.). 
@article{SJVM_2004_7_4_a6,
     author = {S. M. Prigarin and N. V. Fedchenko},
     title = {Solution of boundary value problems for linear systems of stochastic differential equations},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {345--361},
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     volume = {7},
     number = {4},
     year = {2004},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2004_7_4_a6/}
}
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S. M. Prigarin; N. V. Fedchenko. Solution of boundary value problems for linear systems of stochastic differential equations. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 7 (2004) no. 4, pp. 345-361. http://geodesic.mathdoc.fr/item/SJVM_2004_7_4_a6/