Smooth densities of the laws of perturbed diffusion processes
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Publication:333996
DOI10.1016/j.spl.2016.07.016zbMath1350.60082arXiv1601.06275OpenAlexW2253243318MaRDI QIDQ333996
Wen Yue, Lihu Xu, Tu-Sheng Zhang
Publication date: 31 October 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.06275
stochastic differential equationMalliavin differentiabilityperturbed diffusion processsmooth density
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
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- Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
- Brownian motion and random walk perturbed at extrema
- Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
- Perturbed Brownian motions
- Perturbed Skorohod equations and perturbed reflected diffusion processes
- The Malliavin Calculus and Related Topics
- Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
- Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
- Malliavin Calculus with Applications to Stochastic Partial Differential Equations
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