An example of a non-Markovian stochastic two-point boundary value problem
Ferrante, Marco ; Nualart, David
Bernoulli, Tome 3 (1997) no. 3, p. 371-386 / Harvested from Project Euclid
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In this paper we first present a multidimensional version of the characterization of the conditional independence in terms of a factorization property proved by Alabert et al. in the scalar case. As an application, we prove that the solution of a particular two-dimensional linear stochastic differential equation with boundary condition, considered by Ocone and Pardoux, is not a Markov field.
Publié le : 1997-12-14
Classification:  boundary value problems,  conditional independence,  Markov field property,  stochastic differential equations 
@article{1175882213,
     author = {Ferrante, Marco and Nualart, David},
     title = {An example of a non-Markovian stochastic two-point boundary value problem},
     journal = {Bernoulli},
     volume = {3},
     number = {3},
     year = {1997},
     pages = { 371-386},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175882213}
}

Ferrante, Marco; Nualart, David. An example of a non-Markovian stochastic two-point boundary value problem. Bernoulli, Tome 3 (1997) no. 3, pp.  371-386. http://gdmltest.u-ga.fr/item/1175882213/