Brazilian Journal of Probability and Statistics

Density for solutions to stochastic differential equations with unbounded drift

Christian Olivera and Ciprian Tudor

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Abstract

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.

Article information

Source
Braz. J. Probab. Stat., Volume 33, Number 3 (2019), 520-531.

Dates
Received: August 2017
Accepted: May 2018
First available in Project Euclid: 10 June 2019

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1560153850

Digital Object Identifier
doi:10.1214/18-BJPS400

Mathematical Reviews number (MathSciNet)
MR3960274

Zentralblatt MATH identifier
07094815

Keywords
Stochastic differential equations unbounded drift Malliavin calculus existence of the density

Citation

Olivera, Christian; Tudor, Ciprian. Density for solutions to stochastic differential equations with unbounded drift. Braz. J. Probab. Stat. 33 (2019), no. 3, 520--531. doi:10.1214/18-BJPS400. https://projecteuclid.org/euclid.bjps/1560153850


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