Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

DOI10.1214/10-AAP717zbMath1246.60082arXiv1108.4558MaRDI QIDQ640057

Stefano De Marco

Publication date: 12 October 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.4558

zbMATH Keywords

Malliavin calculus; stochastic differential equations; tail estimates; square-root process; locally smooth coefficients; Smoothness of densities

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60H07: Stochastic calculus of variations and the Malliavin calculus

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

60J35: Transition functions, generators and resolvents

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