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 calculusstochastic differential equationstail estimatessquare-root processlocally smooth coefficientsSmoothness of densities

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) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35)

Related Items (20)

Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients ⋮ Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model ⋮ Hölder regularity of the densities for the Navier-Stokes equations with noise ⋮ On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Stability problems for Cantor stochastic differential equations ⋮ An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients ⋮ Probability density function of SDEs with unbounded and path-dependent drift coefficient ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Stochastic formulations of the parametrix method ⋮ Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition ⋮ A simple method for the existence of a density for stochastic evolutions with rough coefficients ⋮ Malliavin calculus for non-colliding particle systems ⋮ Time regularity of the densities for the Navier-Stokes equations with noise ⋮ Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process ⋮ On the anisotropic stable JCIR process ⋮ Hölder continuity property of the densities of SDEs with singular drift coefficients ⋮ Density for solutions to stochastic differential equations with unbounded drift ⋮ Smoothness of Densities of Generalized Locally Non-Degenerate Wiener Functionals ⋮ Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations

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
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