Electronic Journal of Probability

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

Marco Romito

Full-text: Open access

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
Received: 13 October 2017
Accepted: 3 November 2018
First available in Project Euclid: 23 November 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1542942364

Digital Object Identifier
doi:10.1214/18-EJP242

Mathematical Reviews number (MathSciNet)
MR3885546

Zentralblatt MATH identifier
07021669

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05]
Secondary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H15: Stochastic partial differential equations [See also 35R60] 34K50: Stochastic functional-differential equations [See also , 60Hxx]

Keywords
density of laws stochastic differential equations irregular coefficients Besov spaces

Rights
Creative Commons Attribution 4.0 International License.

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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