On the law of the minimum in a class of unidimensional SDEs

DOI10.1007/s00032-019-00295-2zbMath1418.60055arXiv1811.06935WikidataQ114852544 ScholiaQ114852544MaRDI QIDQ2002080

Alessandra Lunardi, Luciano Tubaro, Giuseppe Da Prato

Publication date: 11 July 2019

Published in: Milan Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.06935

zbMATH Keywords

Malliavin calculus; densities of laws; stochastic odes

Mathematics Subject Classification ID

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

60H07: Stochastic calculus of variations and the Malliavin calculus

28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)

60G30: Continuity and singularity of induced measures