Construction of integration by parts formulas

DOI10.1007/978-3-319-27128-6_2MaRDI QIDQ2813624zbMATH OpenOpenAlexFDO

Authors Lucia Caramellino, Vlad Bally

Publication date 24 June 2016

Published in Advanced Courses in Mathematics - CRM Barcelona (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-27128-6_2

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

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(7)

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• A simple method for the existence of a density for stochastic evolutions with rough coefficients
• Integration by parts formula and applications to equations with jumps
• Integration by Parts without Differentiation
• Integration by parts formula with respect to jump times for stochastic differential equations
• Joint density of the stable process and its supremum: regularity and upper bounds
• Integration by parts formulas and regularity of probability laws

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