A multidimensional process involving local time
This paper is devoted to the study of a multidimensional stochastic differential equation involving the local times of the unknown process on a finite number of hyperplanes \(H_ i\). The construction of the solution answers a question of \textit{H. P. McKean} [Lectures differential. Equat. 2 (USA 1966-1967), 177-194 (1969; Zbl 0181.444)] concerning the modelization of a system of n interacting particles on \({\mathbb{R}}\). A key step in the construction is the observation that the process does not visit the singular set \(\cup_{i\neq j}(H_ i\cap H_ j)\), provided it starts outside of this set. This property makes it possible to consider the sequence \((T_ n)\) of successive times of visit to different hyperplanes \(H_ i\) and to construct the process by induction of the time intervals \((T_ n;T_{n+1})\).
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