Continuity and Gaussian two-sided bounds of the density functions of the solutions to path-dependent stochastic differential equations via perturbation

DOI10.1016/j.spa.2016.06.011zbMath1354.60059OpenAlexW2469367675MaRDI QIDQ730341

Seiichiro Kusuoka

Publication date: 27 December 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.06.011

zbMATH Keywords

stochastic differential equationsdensity functionpath-dependenceGaussian two-sided bounds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Related Items

Density estimates for solutions of stochastic functional differential equations, Probability density function of SDEs with unbounded and path-dependent drift coefficient, Stochastic formulations of the parametrix method, Malliavin calculus for non-colliding particle systems, On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients

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