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EnglishIn 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.
| Titolo: | An example of non-Markovian stochastic two-point boundary value problem. |
| Autori: | |
| Data di pubblicazione: | 1997 |
| Rivista: | |
| Abstract: | 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. |
| Handle: | http://hdl.handle.net/11577/126959 |
| Appare nelle tipologie: | 01.01 - Articolo in rivista |
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