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January, 1994 Integration by Parts on Wiener Space and the Existence of Occupation Densities
Peter Imkeller, David Nualart
Ann. Probab. 22(1): 469-493 (January, 1994). DOI: 10.1214/aop/1176988869

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.

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Peter Imkeller. David Nualart. "Integration by Parts on Wiener Space and the Existence of Occupation Densities." Ann. Probab. 22 (1) 469 - 493, January, 1994. https://doi.org/10.1214/aop/1176988869

Information

Published: January, 1994
First available in Project Euclid: 19 April 2007

zbMATH: 0803.60049
MathSciNet: MR1258887
Digital Object Identifier: 10.1214/aop/1176988869

Subjects:
Primary: 60H05

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

Rights: Copyright © 1994 Institute of Mathematical Statistics

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Vol.22 • No. 1 • January, 1994
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