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.

An example of non-Markovian stochastic two-point boundary value problem.

FERRANTE, MARCO;
1997

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.
1997
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/126959
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