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
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
Malliavin calculus; stochastic differential equations; tail estimates; square-root process; locally smooth coefficients; Smoothness of densities
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
Related Items
Cites Work
- Smoothness of the law of some one-dimensional jumping S.D.E.s with non-constant rate of jump
- Potential theory for hyperbolic SPDEs.
- Supremum concentration inequality and modulus of continuity for sub-\(n\)th chaos processes
- A Theory of the Term Structure of Interest Rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Malliavin differentiability of the Heston volatility and applications to option pricing
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item