A second-order Stratonovich differential equation with boundary conditions

Aureli Alabert and David Nualart

Stochastic Processes and their Applications, 1997, vol. 68, issue 1, 21-47

Abstract: In this paper we show that the solution of a second-order stochastic differential equation with diffusion coefficient and boundary conditions X0 = 0 and X1 = 1 is a 2-Markov field if and only if the drift is a linear function. The proof is based on the method of change of probability and makes use of the techniques of Malliavin calculus.

Keywords: Stochastic; differential; equations; Markov; fields; Non-causal; stochastic; calculus; Girsanov; transformations (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(97)00021-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:68:y:1997:i:1:p:21-47

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().