The Annals of Probability

Integration by Parts on Wiener Space and the Existence of Occupation Densities

Peter Imkeller and David Nualart

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Abstract

We present a general criterion for the existence of an occupation density, which is based on the integration by parts formula on Wiener space. This criterion is applied to two particular examples of anticipating processes. First we discuss the case of Brownian motion plus a nonadapted absolutely continuous drift, and second we consider the case of a Skorohod integral process. Finally a version of Tanaka's formula is proved for the Skorohod integral process.

Article information

Source
Ann. Probab., Volume 22, Number 1 (1994), 469-493.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176988869

Digital Object Identifier
doi:10.1214/aop/1176988869

Mathematical Reviews number (MathSciNet)
MR1258887

Zentralblatt MATH identifier
0803.60049

JSTOR
links.jstor.org

Subjects
Primary: 60H05: Stochastic integrals

Keywords
Perturbed Wiener process anticipating processes Skorohod integral process Tanaka's formula

Citation

Imkeller, Peter; Nualart, David. Integration by Parts on Wiener Space and the Existence of Occupation Densities. Ann. Probab. 22 (1994), no. 1, 469--493. doi:10.1214/aop/1176988869. https://projecteuclid.org/euclid.aop/1176988869


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