Existence and continuity of occupation densities of stochastic integral processes

DOI10.1214/AOP/1176989282zbMATH Open0779.60050OpenAlexW2064039907MaRDI QIDQ686784FDOQ686784

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

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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)

Cited In (8)

• Occupation densities of stratonovitch stochastic differential equations with boundary conditions
• Continuity of the occupation density for anticipating stochastic integral processes
• Integration by parts on Wiener space and the existence of occupation densities
• Title not available (Why is that?)
• Occupation densities for certain processes related to subfractional Brownian motion
• Maximum likelihood estimation in Skorohod stochastic differential equations
• On the perturbation problem for occupation densities
• Title not available (Why is that?)

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