Malliavin calculus and regularity of the density of an invariant probability for a Markov chain (Q1203110)

From MaRDI portal

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

scientific article; zbMATH DE number 110498
Language Label Description Also known as
default for all languages
No label defined
    English
    Malliavin calculus and regularity of the density of an invariant probability for a Markov chain
    scientific article; zbMATH DE number 110498

      Statements

      Malliavin calculus and regularity of the density of an invariant probability for a Markov chain (English)
      0 references
      0 references
      0 references
      4 February 1993
      0 references
      The authors consider Markov chains \(X_ n=\varphi(X_{n-1},Z_ n)\), \(X_ 0=x\in{\mathbf R}^ d\), which have an invariant measure \(\eta((Z_ n)\) is a sequence of independent random variables), with some conditions on the function \(\varphi\), the measure \(\eta\) and the Markov chain \((X_ n)\). Using the Malliavin's calculus on the probability space associated to \((Z_ n)\), they show that the invariant measure \(\eta\) has a density of class \(C^ p\) with respect to the Lebesgue measure. Some examples are also discussed.
      0 references
      Markov jump processes
      0 references
      invariant measure
      0 references
      Malliavin's calculus
      0 references

      Identifiers