Smoothness of the distribution of the supremum of a multi-dimensional diffusion process
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Publication:1935422
DOI10.1007/s11118-011-9263-8zbMath1271.60063OpenAlexW2165339062MaRDI QIDQ1935422
Arturo Kohatsu-Higa, Masafumi Hayashi
Publication date: 15 February 2013
Published in: Potential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11118-011-9263-8
Related Items (8)
Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas ⋮ Existence of density functions for the running maximum of a Lévy-Itô diffusion ⋮ Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum ⋮ On the density of the supremum of the solution to the linear stochastic heat equation ⋮ Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions ⋮ Existence and regularity of law density of a pair (diffusion, first component running maximum) ⋮ 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
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- Representation formulas for Malliavin derivatives of diffusion processes
- The Malliavin Calculus and Related Topics
- Homeomorphisms Between Banach Spaces
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