Estimates of the difference between two probability densities of Wiener functionals and its application

DOI10.1007/s10959-020-00986-2zbMath1483.60076OpenAlexW3004392593MaRDI QIDQ2031000

Guilan Cao, Kai He

Publication date: 8 June 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-020-00986-2

zbMATH Keywords

convergence rateDonsker's delta functionintegration by partsnondegeneratenon-Markovian SDE

Mathematics Subject Classification ID

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

Cites Work

• Absolute continuity and convergence of densities for random vectors on Wiener chaos
• Localization of Wiener functionals of fractional regularity and applications
• Lectures on stochastic differential equations and Malliavin calculus
• A duality approach for the weak approximation of stochastic differential equations
• Fractional order Sobolev spaces on Wiener space
• Convergence in distribution norms in the CLT for non identical distributed random variables
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Positivity and lower bounds for the density of Wiener functionals
• Convergence and regularity of probability laws by using an interpolation method
• Convergence of densities of some functionals of Gaussian processes
• On the distances between probability density functions
• The Malliavin Calculus and Related Topics
• Weak approximations. A Malliavin calculus approach
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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