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

densityMalliavin calculusstochastic differential equationsirregular drift

Mathematics Subject Classification ID

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

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Cited in

(15)

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

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