Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process

DOI10.1016/j.jmaa.2020.124692zbMath1470.60171WikidataQ115345901 ScholiaQ115345901MaRDI QIDQ1995755

Hua Zhang

Publication date: 25 February 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2020.124692

zbMATH Keywords

Malliavin calculus; local time; absolute continuity; maximum process; reflected stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H07: Stochastic calculus of variations and the Malliavin calculus