Open AccessAn Example of a Non-Markovian Stochastic Two-Point Boundary Value Problem
Author(s) -
Marco Ferrante,
David Nualart
Publication year - 1997
Publication title -
bernoulli
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.814
H-Index - 72
eISSN - 1573-9759
pISSN - 1350-7265
DOI - 10.2307/3318454
Subject(s) - mathematics , markov process , point process , value (mathematics) , mathematical economics , mathematical optimization , calculus (dental) , statistics , medicine , dentistry
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
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