Absolute continuity for some one-dimensional processes
From MaRDI portal
Abstract: We introduce an elementary method for proving the absolute continuity of the time marginals of one-dimensional processes. It is based on a comparison between the Fourier transform of such time marginals with those of the one-step Euler approximation of the underlying process. We obtain some absolute continuity results for stochastic differential equations with H"{o}lder continuous coefficients. Furthermore, we allow such coefficients to be random and to depend on the whole path of the solution. We also show how it can be extended to some stochastic partial differential equations and to some L'{e}vy-driven stochastic differential equations. In the cases under study, the Malliavin calculus cannot be used, because the solution in generally not Malliavin differentiable.
Recommendations
- Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process
- Propriété d'absolue continuité pour les équations différentielles stochastiques dépendant du passé. (Absolute continuity property for stochastic differential equations depending on the past)
- On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
- scientific article; zbMATH DE number 898385
- Absolute continuity of distributions of solutions of anticipating stochastic differential equations
Cites work
- scientific article; zbMATH DE number 3833030 (Why is no real title available?)
- scientific article; zbMATH DE number 5079343 (Why is no real title available?)
- scientific article; zbMATH DE number 3984248 (Why is no real title available?)
- scientific article; zbMATH DE number 4046808 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 46016 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 3289754 (Why is no real title available?)
- scientific article; zbMATH DE number 3182356 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A criterion of density for solutions of Poisson-driven SDEs
- Absolute continuity of the law of the solution of a parabolic SPDE
- Approximation and support theorem in Hölder norm for parabolic stochastic partial differential equations
- Calcul stochastique et problèmes de martingales
- Malliavin calculus for white noise driven parabolic SPDEs
- Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- On the absolute continuity of Lévy processes with drift
- On the existence of smooth densities for jump processes
- On weak solutions of stochastic equations in Hilbert spaces
- White noise driven parabolic SPDEs with measurable drift
Cited in
(45)- Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process
- Solving a nonlinear fractional stochastic partial differential equation with fractional noise
- Hölder regularity of the densities for the Navier-Stokes equations with noise
- Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
- Total positivity and relative convexity of option prices
- Joint estimation for SDE driven by locally stable Lévy processes
- Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
- Time regularity of the densities for the Navier-Stokes equations with noise
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- A simple method for the existence of a density for stochastic evolutions with rough coefficients
- Integration by parts formula for exit times of one dimensional diffusions
- Density for solutions to stochastic differential equations with unbounded drift
- Absolute continuity of the solution to the stochastic Burgers equation
- Existence and Besov regularity of the density for a class of SDEs with Volterra noise
- The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
- A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
- Hölder continuity of semigroups for time changed symmetric stable processes
- Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
- Finiteness of entropy for the homogeneous Boltzmann equation with measure initial condition
- Non-asymptotic bounds for the \(\ell_{\infty}\) estimator in linear regression with uniform noise
- Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
- Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise
- Existence of densities for the 3D Navier-Stokes equations driven by Gaussian noise
- Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
- On the metric temporal logic for continuous stochastic processes
- Central limit theorems for discretized occupation time functionals
- Representations of solutions to Fokker-Planck-Kolmogorov equations with coefficients of low regularity
- On Absolute Continuity of Feller's One-Dimensional Diffusion Processes
- Density analysis of BSDEs
- On the discrete approximation of occupation time of diffusion processes
- On density functions related to discrete time maximum of some one-dimensional diffusion processes
- A measure-valued stochastic model for vector-borne viruses
- Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
- Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
- Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
- Absolute continuity of one-sided random translations
- Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations
- Existence and estimates of moments for Lévy-type processes
- Non-elliptic SPDEs and ambit fields: existence of densities
- Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas
- On numerical density approximations of solutions of SDEs with unbounded coefficients
- Existence of densities for multi-type continuous-state branching processes with immigration
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
- Statistical inference for scale mixture models via Mellin transform approach
This page was built for publication: Absolute continuity for some one-dimensional processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q453264)
