Absolute continuity of distributions of solutions of anticipating stochastic differential equations (Q803647): Difference between revisions
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Revision as of 02:16, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Absolute continuity of distributions of solutions of anticipating stochastic differential equations |
scientific article |
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Absolute continuity of distributions of solutions of anticipating stochastic differential equations (English)
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1991
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The author considers a stochastic differential equation with anticipating initial value and drift coefficient. By means of the Malliavin calculus he proves two sets of sufficient conditions for the absolute continuity of the one-dimensional distributions of the solution process w.r.t. the Lebesgue measure.
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stochastic differential equation with anticipating initial value and drift coefficient
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Malliavin calculus
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absolute continuity
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