Density for solutions to stochastic differential equations with unbounded drift

被引：3

作者：

Olivera, Christian ^{[1
]}

Tudor, Ciprian ^{[2
,3
,4
]}

机构：

[1] Univ Estadual Campinas, Dept Matemat, BR-13081970 Campinas, SP, Brazil

[2] Univ Lille 1, Lab Paul Painleve, F-59655 Villeneuve Dascq, France

[3] ISMMA, Seattle, WA USA

[4] Inst Math Stat & Appl Math, Bucharest, Romania

来源：

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2019年 / 33卷 / 03期

基金：

巴西圣保罗研究基金会;

关键词：

Stochastic differential equations; unbounded drift; Malliavin calculus; existence of the density; SDES; FUNCTIONALS; REGULARITY;

D O I：

10.1214/18-BJPS400

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Via a special transform and by using the techniques of the Malliavin calculus, we analyze the density of the solution to a stochastic differential equation with unbounded drift.

引用

页码：520 / 531

页数：12

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