On the Markov property of strong solutions to SDE with generalized coefficients

Details On the Markov property of strong solutions to SDE with generalized coefficients On the Markov property of strong solutions to SDE with generalized coefficients

2006-09-11

arxiv.org/abs/math/0609307v1

Theory of Stochastic processes, Vol. 11(27), no. 3-4, 2005, pp. 140-146

Mathematics

Probability

Scientific paper

We show the complete proof of the Markov property of the strong solution to a
multidimensional SDE whose coefficients involve local time on a hyperplane of
the unknown process.

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