Existence and continuity of occupation densities of stochastic integral processes

DOI10.1214/AOP/1176989282MaRDI QIDQ686784zbMATH OpenOpenAlexFDO

Authors P. Imkeller

Publication date 11 October 1993

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

Full work available at URL https://doi.org/10.1214/aop/1176989282

zbMATH Keywords

Tanaka's formulasecond Wiener chaosKolmogorov's continuity criterionoccupation densitySkorokhod integral processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Generalizations of martingales (60G48) Sample path properties (60G17) Stochastic integrals (60H05) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10)

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(8)

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• Integration by parts on Wiener space and the existence of occupation densities
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• Maximum likelihood estimation in Skorohod stochastic differential equations
• On the perturbation problem for occupation densities
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