Applications of Malliavin calculus to stochastic differential equations with time-dependent coefficients

DOI10.1007/BF02005970zbMath0751.60048OpenAlexW2056651784MaRDI QIDQ1180498

Chen Mu-Fa, Xian Yin Zhou

Publication date: 27 June 1992

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02005970

zbMATH Keywords

Malliavin calculusdifferential equationshypoellipticityHörmander type conditionsinhomogeneous stochastic differential equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

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On the existence of solutions with smooth density of stochastic differential equations in plane, Probability density for a hyperbolic SPDE with time dependent coefficients, Densities of one-dimensional backward SDEs, Some new results on relative entropy production, time reversal, and optimal control of time-inhomogeneous diffusion processes, Differentiable measures and the Malliavin calculus

Cites Work

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• Hypoellipticity theorems and conditional laws
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]