Existence of densities of solutions of stochastic differential equations by Malliavin calculus

DOI10.1016/j.jfa.2009.09.009zbMath1198.60025OpenAlexW1989148951MaRDI QIDQ1048184

Seiichiro Kusuoka

Publication date: 11 January 2010

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfa.2009.09.009

zbMATH Keywords

stochastic differential equationMalliavin calculusabsolute continuityexistence of densitiesexistence of fundamental solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition ⋮ A simple method for the existence of a density for stochastic evolutions with rough coefficients ⋮ Malliavin Calculus for Stochastic Point Vortex and Lagrangian Models ⋮ Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation ⋮ Hölder continuity property of the densities of SDEs with singular drift coefficients ⋮ Smoothness of Densities of Generalized Locally Non-Degenerate Wiener Functionals

Cites Work

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• Propriété d'absolue continuité pour les équations différentielles stochastiques dépendant du passé. (Absolute continuity property for stochastic differential equations depending on the past)
• Dirichlet forms and analysis on Wiener space
• On the uniqueness of solutions of stochastic differential equations
• The Malliavin Calculus and Related Topics
• Weakly Differentiable Functions
• Probability with Martingales

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