MARKOV FIELD PROPERTY OF STOCHASTIC DIFFERENTIAL-EQUATIONS

• 成果类型: Article
• 署名作者: ALABERT, A; FERRANTE, M; NUALART, D
• 署名单位: University of Padua; University of Barcelona
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176988183
• 发表日期: 1995
• 页码: 1262-1288
• 关键词: calculus

摘要

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.