The Itô-Clifford integral III. The Markov property of solutions to stochastic differential equations |
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| Authors: | C Barnett R F Streater I F Wilde |
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| Institution: | 1. Mathematics Department, Bedford College, Regent's Park, NW1 4NS, London, England
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| Abstract: | It is shown that the solution to the Itô-Clifford stochastic differential equationdX t =F(X t ,t)dΨ t +dΨ t G(X t ,t)+H(X t ,t)dt, whereF, G, H are suitable Lipschitz functions andΨ t is the fermion martingale, satisfies a Markov property. |
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