Markov Field Property of Stochastic Differential Equations
Issue Date
1995-03-01Author
Darses, Sebastien
Nourdin, Ivan
Nualart, David
Publisher
Institute of Mathematical Statistics (IMS)
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
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.
Description
This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176988183.
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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.
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