Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
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Publication:2804514
DOI10.1080/07362994.2015.1129346zbMath1344.60058MaRDI QIDQ2804514
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
stochastic differential equation; Malliavin calculus; probability density function; integration by parts formula; maximum process
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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