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

DOI10.1080/07362994.2015.1129346zbMATH Open1344.60058OpenAlexW2277546849MaRDI QIDQ2804514FDOQ2804514

Authors: 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

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zbMATH Keywords

Malliavin calculusstochastic differential equationprobability density functionmaximum processintegration by parts formula

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Absolute continuity for some one-dimensional processes
• On the gap between deterministic and stochastic ordinary differential equations
• Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
• Diffusion processes and their sample paths.
• A local criterion for smoothness of densities and application to the supremum of the Brownian sheet
• Title not available (Why is that?)
• Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
• Smoothness of the distribution of the supremum of a multi-dimensional diffusion process

Cited In (7)

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

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