ON THE MARKOV PROPERTY OF STRONG SOLUTIONS TO SDE WITH GENERALIZED COEFFICIENTS

LUDMILA L. ZAITSEVA

Theory of Stochastic Processes Vol. 11 (27), no. 3–4, 2005, pp. 140–146

We present the complete proof of the Markov property of the strong solution to a multidimensional stochastic differential equation, whose coefficients involve the local time on a hyperplane of the unknown process.

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