Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process

被引：0
作者：
Zhang, Hua [1 ,2 ]
机构：
[1] Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China
[2] Jiangxi Univ Finance & Econ, Res Ctr Appl Stat, Nanchang 330013, Jiangxi, Peoples R China
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2021年 / 495卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Absolute continuity; Reflected stochastic differential equations; Maximum process; Malliavin calculus; Local time;
D O I：
10.1016/j.jmaa.2020.124692
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, using the technique of Malliavin calculus and local time, we establish the absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process. (C) 2020 Elsevier Inc. All rights reserved.
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页数：31
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