Existence and regularity of law density of a pair (diffusion, first component running maximum)
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Publication:2322681
DOI10.1016/j.spl.2019.05.013zbMath1458.60088OpenAlexW2948950818MaRDI QIDQ2322681
Publication date: 5 September 2019
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2019.05.013
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (2)
PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ Joint law of an Ornstein–Uhlenbeck process and its supremum
Cites Work
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- The Malliavin Calculus and Related Topics
- The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
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- Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- On the regularity of the distribution of the maximum of one-parameter Gaussian processes
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