A local criterion for smoothness of densities and application to the supremum of the Brownian sheet

DOI10.1016/0167-7152(94)00043-8zbMath0820.60037OpenAlexW2042708667MaRDI QIDQ1344825

Carme Florit, David Nualart

Publication date: 22 February 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00043-8

zbMATH Keywords

stochastic calculus of variationssmoothness of densitiesmaximum of the Brownian sheet

Mathematics Subject Classification ID

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

Related Items

Boundary crossings and the distribution function of the maximum of Brownian sheet., Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas, Smoothness of the distribution of the supremum of a multi-dimensional diffusion process, On the density of the supremum of the solution to the linear stochastic heat equation, A Kolmogorov-Smirnov type test for independence between marks and points of marked point processes, Malliavin calculus for non-colliding particle systems, Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions, Smoothness of Densities of Generalized Locally Non-Degenerate Wiener Functionals, Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations, On density functions related to discrete time maximum of some one-dimensional diffusion processes

Cites Work

• Lectures on stochastic differential equations and Malliavin calculus
• Stochastic calculus with anticipating integrands
• Integration by parts on Wiener space and the existence of occupation densities
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