On the Markov property of strong solutions to sde with generalized coefficients
We present the complete proof of the Markov property of the strong solution to a multidimensional stochastic differential equation, whose coefficients involve the local time on a hyperplane of the unknown process.
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| Datum: | 2005 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2005
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4435 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | On the Markov property of strong solutions to sde with generalized coefficients / L.L. Zaitseva // Theory of Stochastic Processes. — 2005. — Т. 11 (27), № 3-4. — С. 140–146. — Бібліогр.: 11 назв.— англ. |
Institution
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Zusammenfassung: | We present the complete proof of the Markov property of the strong solution to a
multidimensional stochastic differential equation, whose coefficients involve the local
time on a hyperplane of the unknown process. |
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