Estimates for the density of functionals of SDEs with irregular drift

DOI10.1016/J.SPA.2013.01.006zbMATH Open1279.60070OpenAlexW2114768613MaRDI QIDQ1947601FDOQ1947601

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

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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)

Cited In (13)

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

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