Geodesic
On~a~class of~boundary-value problems for stochastic differential equations
Teoretičeskaâ i matematičeskaâ fizika, Tome 43 (1980) no. 2, pp. 240-252

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Boundary value problems of general kind for a system of ordinary stochastic differential equations are considered. The $q$-time density of probability is built in the case when the boundary value problem possesses the unique solution or countable set of solutions. Some concrete computational examples are considered to illustrate the scheme. Several uniqueness theorems for the initial boundary value problem are proved. 
@article{TMF_1980_43_2_a6,
     author = {S. E. Pitovranov and V. M. Chetverikov},
     title = {On~a~class of~boundary-value problems for stochastic differential equations},
     journal = {Teoreti\v{c}eska\^a i matemati\v{c}eska\^a fizika},
     pages = {240--252},
     publisher = {mathdoc},
     volume = {43},
     number = {2},
     year = {1980},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TMF_1980_43_2_a6/}
}
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S. E. Pitovranov; V. M. Chetverikov. On~a~class of~boundary-value problems for stochastic differential equations. Teoretičeskaâ i matematičeskaâ fizika, Tome 43 (1980) no. 2, pp. 240-252. http://geodesic.mathdoc.fr/item/TMF_1980_43_2_a6/