Estimates for the density of functionals of SDEs with irregular drift

DOI10.1016/J.SPA.2013.01.006MaRDI QIDQ1947601zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa, A. Makhlouf

Publication date 22 April 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2013.01.006

zbMATH Keywords

densityirregular driftMalliavin calculusstochastic differential equations

Mathematics Subject Classification ID

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

Review text

The authors consider a two-component multidimensional stochastic differential equation whose second component \(Y_t\) depends on the first component \(X_t\) which is drifted by a bounded and measurable function \(b(X_t)\). They obtain a non-trivial integration by parts formula for functions of \((X_t,Y_t)\) and, by a Girsanov shift, they derive upper and lower bounds for the density of \(Y_t\), when \((X_t,Y_t)\) is driven by possibly correlated Brownian motions.

Recommendations

• A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
• Density estimates and central limit theorem for the functional of fractional SDEs
• Density estimates for solutions of stochastic functional differential equations
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts

Cited in

(15)

• On SDEs with marginal laws evolving in finite-dimensional exponential families
• Tail estimates for exponential functionals and applications to SDEs
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• Density for solutions to stochastic differential equations with unbounded drift
• Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• Variational estimation of the drift for stochastic differential equations from the empirical density
• On the estimation of smooth densities for Poisson functionals
• A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
• Stochastic formulations of the parametrix method
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• Density estimates and central limit theorem for the functional of fractional SDEs
• The normal approximation rate for the drift estimator of multidimensional diffusions
• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift

This page was built for publication: Estimates for the density of functionals of SDEs with irregular drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1947601)