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

DOI10.1016/J.JMAA.2020.124692MaRDI QIDQ1995755zbMATHOpenAlexWikidataFDO

Authors 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 calculuslocal timeabsolute continuitymaximum processreflected stochastic differential equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 2109358 (Why is no real title available?)
• Absolute continuity for some one-dimensional processes
• Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Quasilinear stochastic elliptic equations with reflection: The existence of a density
• Stochastic partial differential equations with reflection and Malliavin calculus
• The Malliavin Calculus and Related Topics

Cited in

(6)

• scientific article; zbMATH DE number 4062289 (Why is no real title available?)
• Absolute continuity for some one-dimensional processes
• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
• Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS

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