Yes, both manually and automatic.

Manual:
After starting, go to MyFavorites app and select "Restart last played music link"

Automatic:
Go to Settings -> volume and player settings -> auto play when turned on  > set to yes.
Go to Settings -> volume and player settings -> auto play mode  > set to audio.

Note that for now there are some exceptions on what links can be restarted. In most cases it should work though.