Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155664 | Stochastic Processes and their Applications | 2013 | 13 Pages |
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)
Authors
Arturo Kohatsu-Higa, Azmi Makhlouf,