A local criterion for smoothness of densities and application to the supremum of the Brownian sheet (Q1344825)
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scientific article; zbMATH DE number 724090
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A local criterion for smoothness of densities and application to the supremum of the Brownian sheet |
scientific article; zbMATH DE number 724090 |
Statements
A local criterion for smoothness of densities and application to the supremum of the Brownian sheet (English)
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22 February 1995
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The authors prove a criterion for the smoothness of the density for a once differentiable random variable taking values in an open subset of \(\text{Re}^ d\). As an application, it is shown that the maximum of the Brownian sheet on a rectangle \([0,s] \times [0,t]\) admits an infinitely differentiable density.
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stochastic calculus of variations
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smoothness of densities
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maximum of the Brownian sheet
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