کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7549802 1489894 2014 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
چکیده انگلیسی
In this paper the existence of a smooth density is proved for the solution of an SDE, with locally Lipschitz coefficients and semi-monotone drift, under Hörmander condition. We prove the nondegeneracy condition for the solution of the SDE, from it an integration by parts formula would result in the Wiener space. To this end we construct a sequence of SDEs with globally Lipschitz coefficients whose solutions converge to the original one and use some Lyapunov functions to show the uniform boundedness of the p-moments of the solutions and their Malliavin derivatives with respect to n.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 85, February 2014, Pages 51-62
نویسندگان
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