Continuity of the occupation density for anticipating stochastic integral processes

DOI10.1007/BF01049298zbMath0777.60043OpenAlexW2037840840MaRDI QIDQ1261225

Peter Imkeller, David Nualart

Publication date: 31 August 1993

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01049298

zbMATH Keywords

local timeSkorokhod integralanticipating stochastic calculusoccupation densityMalliavin derivativesiterated Skorokhod integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Existence and continuity of occupation densities of stochastic integral processes
• Lectures on stochastic differential equations and Malliavin calculus
• Stochastic calculus with anticipating integrands
• Occupation densities
• Integration by parts on Wiener space and the existence of occupation densities
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• On a Generalization of a Stochastic Integral

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