On the Markov property of a stochastic difference equation

DOI10.1016/0304-4149(94)90027-2zbMath0811.60050OpenAlexW2083520118MaRDI QIDQ1338747

Marco Ferrante, David Nualart

Publication date: 19 April 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90027-2

zbMATH Keywords

conditionally independentreciprocal Markov chaintwo-point boundary condition stochastic difference system

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic analysis (60H99)

Related Items (3)

The Picard boundary value problem for a third order stochastic difference equation ⋮ On a stochastic delay difference equation with boundary conditions and its Markov property ⋮ On Markov property of Lévy waves in two dimensions

Cites Work

• Stochastic calculus with anticipating integrands
• Boundary value problems for stochastic differential equations
• Equations différentielles stochastiques dans avec conditions aux bords
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