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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| Date: | 2005 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2005
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4435 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |