On the Markov property of strong solutions to SDE with generalized coefficients
Probability
2007-05-23 v1
Abstract
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.
Keywords
Cite
@article{arxiv.math/0609307,
title = {On the Markov property of strong solutions to SDE with generalized coefficients},
author = {Ludmila L. Zaitseva},
journal= {arXiv preprint arXiv:math/0609307},
year = {2007}
}