Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process

DOI10.1016/j.jmaa.2020.124692zbMath1470.60171OpenAlexW3092846108WikidataQ115345901 ScholiaQ115345901MaRDI QIDQ1995755

Hua Zhang

Publication date: 25 February 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2020.124692

zbMATH Keywords

Malliavin calculuslocal timeabsolute continuitymaximum processreflected stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Absolute continuity for some one-dimensional processes
• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
• Quasilinear stochastic elliptic equations with reflection: The existence of a density
• Stochastic partial differential equations with reflection and Malliavin calculus
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
• The Malliavin Calculus and Related Topics
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