Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions

DOI10.1080/07362994.2015.1129346zbMath1344.60058MaRDI QIDQ2804514

Tomonori Nakatsu

Publication date: 29 April 2016

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

Full work available at URL: https://doi.org/10.1080/07362994.2015.1129346

zbMATH Keywords

stochastic differential equation; Malliavin calculus; probability density function; integration by parts formula; maximum process

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

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

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

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Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas, On density functions related to discrete time maximum of some one-dimensional diffusion processes, On the density of the supremum of the solution to the linear stochastic heat equation, Integration by parts formula for killed processes: a point of view from approximation theory, Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations

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