کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155664 958755 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimates for the density of functionals of SDEs with irregular drift
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Estimates for the density of functionals of SDEs with irregular drift
چکیده انگلیسی
We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov's theorem together with an Itô-Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a non-trivial manner so as to avoid the irregularity of the drift. An integration by parts formula for this set-up is obtained.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 5, May 2013, Pages 1716-1728
نویسندگان
, ,