Article ID Journal Published Year Pages File Type
1155664 Stochastic Processes and their Applications 2013 13 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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