A second-order Stratonovich differential equation with boundary conditions

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.

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Year of publication:	1997
Authors:	Alabert, Aureli ; Nualart, David
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 68.1997, 1, p. 21-47
Publisher:	Elsevier
Keywords:	Stochastic differential equations Markov fields Non-causal stochastic calculus Girsanov transformations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875184