Absolute continuity of distributions of solutions of anticipating stochastic differential equations (Q803647): Difference between revisions
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| Property / cites work: Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions / rank | |||
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| Property / cites work: Q3684932 / rank | |||
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| Property / cites work: Q4197841 / rank | |||
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| Property / cites work: Stochastic calculus with anticipating integrands / rank | |||
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| Property / cites work: A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations / rank | |||
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| Property / cites work: Derivatives of Wiener functionals and absolute continuity of induced measures / rank | |||
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| Property / cites work: Lectures on stochastic differential equations and Malliavin calculus / rank | |||
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Latest revision as of 17:09, 21 June 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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