On the perturbation problem for occupation densities

DOI10.1016/0304-4149(93)00069-RMaRDI QIDQ1315399zbMATH OpenFDO

Authors P. Imkeller

Publication date 19 January 1995

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

Full work available at URL https://doi.org/10.1016/0304-4149(93)00069-R

zbMATH Keywords

conditions for continuity of the obtained occupation densitiesoccupation densitiesprocess of bounded variationsemimartingale

Mathematics Subject Classification ID

Sample path properties (60G17) Generalizations of martingales (60G48) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Review text

Let \(X\) be a continuous semimartingale. There is considered \(X\) perturbed by a process \(V\) possibly anticipating. If \(V\) is not adapted, the process \(X+V\) is not a semimartingale. But under some smoothness conditions on \(V\) it is proved that \(X+V\) possesses the occupation densities \(L(V,.,.)\). There are given sufficient conditions for the continuity of the obtained occupation densities \(L(V,y,t)\) in \((y,t)\). They are the same as in the classical case of martingales perturbed by an adapted process of bounded variation.

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Cited in

(2)

• Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory
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