کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5130192 | 1378665 | 2017 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Continuity and Gaussian two-sided bounds of the density functions of the solutions to path-dependent stochastic differential equations via perturbation
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider Markovian stochastic differential equations with low regular coefficients and their perturbations by adding a measurable bounded path-dependent drift term. When we assume the diffusion coefficient matrix is uniformly positive definite, then the solution to the perturbed equation is given by the Girsanov transformation of the original equation. By using the expression we obtain the Gaussian two-sided bounds and the continuity of the density function of the solution to the perturbed equation. We remark that the perturbation in the present paper is a stochastic analogue to the perturbation in the operator analysis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 2, February 2017, Pages 359-384
Journal: Stochastic Processes and their Applications - Volume 127, Issue 2, February 2017, Pages 359-384
نویسندگان
Seiichiro Kusuoka,