Absolute continuity for some one-dimensional processes

DOI10.3150/09-BEJ215zbMATH Open1248.60062arXiv0804.3037OpenAlexW3105151081MaRDI QIDQ453264FDOQ453264

Authors: Nicolas Fournier, Jacques Printems 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We introduce an elementary method for proving the absolute continuity of the time marginals of one-dimensional processes. It is based on a comparison between the Fourier transform of such time marginals with those of the one-step Euler approximation of the underlying process. We obtain some absolute continuity results for stochastic differential equations with H"{o}lder continuous coefficients. Furthermore, we allow such coefficients to be random and to depend on the whole path of the solution. We also show how it can be extended to some stochastic partial differential equations and to some L'{e}vy-driven stochastic differential equations. In the cases under study, the Malliavin calculus cannot be used, because the solution in generally not Malliavin differentiable.

Full work available at URL: https://arxiv.org/abs/0804.3037

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zbMATH Keywords

stochastic partial differential equationsstochastic differential equationsabsolute continuityrandom coefficientsLévy processesHölder coefficients

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuity and singularity of induced measures (60G30)

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