Estimates for the density of functionals of SDEs with irregular drift
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Publication:1947601
DOI10.1016/j.spa.2013.01.006zbMath1279.60070OpenAlexW2114768613MaRDI QIDQ1947601
Arturo Kohatsu-Higa, Azmi 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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients ⋮ Tail estimates for exponential functionals and applications to SDEs ⋮ Stochastic formulations of the parametrix method ⋮ Gaussian estimates for the solutions of some one-dimensional stochastic equations ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts ⋮ 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
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