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Olivera, Christian; Tudor, Ciprian

Density for solutions to stochastic differential equations with unbounded drift. (English) Zbl 1427.60109

Braz. J. Probab. Stat. 33, No. 3, 520-531 (2019).
Summary: Via a special transform and by using the techniques of the Malliavin calculus, we analyze the density of the solution to a stochastic differential equation with unbounded drift.

Cited in 3 Documents

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07 Stochastic calculus of variations and the Malliavin calculus

Keywords:

stochastic differential equations; unbounded drift; Malliavin calculus; existence of the density
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Full Text: DOI arXiv Euclid

References:

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