Electronic Journal of Probability

A simple method for the existence of a density for stochastic evolutions with rough coefficients

Marco Romito

Abstract

We extend the validity of a simple method for the existence of a density for stochastic differential equations, first introduced in [15], by proving local estimates for the density, existence for the density with summable drift, and by improving the regularity of the density.

Article information

Source
Electron. J. Probab., Volume 23 (2018), paper no. 113, 43 pp.

Dates
Accepted: 3 November 2018
First available in Project Euclid: 23 November 2018

https://projecteuclid.org/euclid.ejp/1542942364

Digital Object Identifier
doi:10.1214/18-EJP242

Mathematical Reviews number (MathSciNet)
MR3885546

Zentralblatt MATH identifier
07021669

Citation

Romito, Marco. A simple method for the existence of a density for stochastic evolutions with rough coefficients. Electron. J. Probab. 23 (2018), paper no. 113, 43 pp. doi:10.1214/18-EJP242. https://projecteuclid.org/euclid.ejp/1542942364

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