Smooth densities of the laws of perturbed diffusion processes

DOI10.1016/j.spl.2016.07.016zbMath1350.60082arXiv1601.06275OpenAlexW2253243318MaRDI QIDQ333996

Wen Yue, Lihu Xu, Tu-Sheng Zhang

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.06275

zbMATH Keywords

stochastic differential equationMalliavin differentiabilityperturbed diffusion processsmooth density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Rate of convergence of the perturbed diffusion process to its unperturbed limit

Cites Work

• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
• Brownian motion and random walk perturbed at extrema
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Perturbed Brownian motions
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• The Malliavin Calculus and Related Topics
• Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
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