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Markov Field Property of Stochastic Differential Equations

Darses, Sebastien
; 
Nourdin, Ivan
; 
Nualart, David
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Abstract
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.
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This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176988183.
Date
1995-03-01
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Publisher
Institute of Mathematical Statistics (IMS)
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Mathematics Scholarly Works
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NualartD_Bernoulli_16(4)1262.pdf
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Keywords
Stochastic differential equations, Markov property, conditional independence, reciprocal Markov processes
Citation
Alabert, Aureli; Ferrante, Marco; Nualart, David. Markov Field Property of Stochastic Differential Equations. Ann. Probab. 23 (1995), no. 3, 1262--1288. http://dx.doi.org/10.1214/aop/1176988183.
URI
https://hdl.handle.net/1808/17056
DOI
10.1214/aop/1176988183
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