Joint distributions for stochastic functional differential equations

DOI10.1080/17442508.2015.1137575zbMATH Open1362.34120arXiv1601.01093OpenAlexW2223720471MaRDI QIDQ2833697FDOQ2833697

Atsushi Takeuchi

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: Consider stochastic functional differential equations, whose coefficients depend on past histories. The solution determines a non-Markov process. In the present paper, we shall obtain the existence of smooth densities for joint distributions of solutions, under the uniformly elliptic condition on the diffusion coefficients, via the Malliavin calculus. As an application, we shall study the computations of the Greeks on options associated with the asset price dynamics models with delayed effects.

Full work available at URL: https://arxiv.org/abs/1601.01093

zbMATH Keywords

Malliavin calculusdensity functionstochastic functional differential equationsoption pricing formulacomputations of the Greeks

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic functional-differential equations (34K50) Financial applications of other theories (91G80)

Cited In (3)

• Stationary distribution of mean-field stochastic functional differential equations with jumps
• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• Probability density function of SDEs with unbounded and path-dependent drift coefficient

This page was built for publication: Joint distributions for stochastic functional differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2833697)