Markov Field Property of Stochastic Differential Equations
Alabert, Aureli ; Ferrante, Marco ; Nualart, David
Ann. Probab., Tome 23 (1995) no. 3, p. 1262-1288 / Harvested from Project Euclid
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The purpose of this paper is to prove a characterization of the conditional independence of two independent random variables given a particular functional of them, in terms of a factorization property. As an application we discuss the Markov field property for solutions of stochastic differential equations with a boundary condition involving the values of the process at times $t = 0$ and $t = 1$.
Publié le : 1995-07-14
Classification:  Stochastic differential equations,  Markov property,  conditional independence,  reciprocal Markov processes,  60H10,  60J15,  60H07 
@article{1176988183,
     author = {Alabert, Aureli and Ferrante, Marco and Nualart, David},
     title = {Markov Field Property of Stochastic Differential Equations},
     journal = {Ann. Probab.},
     volume = {23},
     number = {3},
     year = {1995},
     pages = { 1262-1288},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988183}
}

Alabert, Aureli; Ferrante, Marco; Nualart, David. Markov Field Property of Stochastic Differential Equations. Ann. Probab., Tome 23 (1995) no. 3, pp.  1262-1288. http://gdmltest.u-ga.fr/item/1176988183/