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The Itô-Clifford integral III. The Markov property of solutions to stochastic differential equations

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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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Authors and Affiliations

  1. Mathematics Department, Bedford College, Regent's Park, NW1 4NS, London, England

    C. Barnett, R. F. Streater & I. F. Wilde

Authors
  1. C. Barnett
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  2. R. F. Streater
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  3. I. F. Wilde
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Communicated by J. L. Lebowitz

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Barnett, C., Streater, R.F. & Wilde, I.F. The Itô-Clifford integral III. The Markov property of solutions to stochastic differential equations. Commun.Math. Phys. 89, 13–17 (1983). https://doi.org/10.1007/BF01219522

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  • DOI: https://doi.org/10.1007/BF01219522

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