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On the Markov property of strong solutions to SDE with generalized coefficients

Ludmila L. Zaitseva
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Abstract

We show the complete proof of the Markov property of the strong solution to a multidimensional SDE whose coefficients involve local time on a hyperplane of the unknown process.

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Ludmila L. Zaitseva. 2006-09-11. On the Markov property of strong solutions to SDE with generalized coefficients. https://arxiv.org/abs/math/0609307

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