Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations
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Publication:2330408
DOI10.1007/s10959-019-00885-1zbMath1480.60146OpenAlexW2915513173MaRDI QIDQ2330408
Publication date: 22 October 2019
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-019-00885-1
stochastic differential equationMalliavin calculusprobability density functioncontinuous/discrete time maximum
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic difference equations (39A50)
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