Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes

DOI10.1007/S10959-013-0499-7MaRDI QIDQ495705zbMATH OpenOpenAlexFDO

Authors Wen Yue, Tu-Sheng Zhang

Publication date 15 September 2015

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.0713

zbMATH Keywords

Malliavin calculuscomparison theoremabsolute continuityperturbed diffusion processesperturbed reflected diffusion processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60)

Abstract: In this paper, we prove that the laws of perturbed diffusion processes and perturbed reflected diffusion processes are absolutely continuous with respect to the Lebesgue measure. The main tool we use is the Malliavin calculus.

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Cited in

(15)

• Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process
• Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
• Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
• Perturbations of singular fractional SDEs
• Rough differential equations containing path-dependent bounded variation terms
• Absolute continuity, quadratic forms, and causal perturbations of product measures
• Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
• On Absolute Continuity of Feller's One-Dimensional Diffusion Processes
• Rate of convergence of the perturbed diffusion process to its unperturbed limit
• Smooth densities of the laws of perturbed diffusion processes
• Density functions of doubly-perturbed stochastic differential equations with jumps
• scientific article; zbMATH DE number 4062289 (Why is no real title available?)
• The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
• Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary
• Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero

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