Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions

DOI10.1080/07362994.2015.1129346zbMath1344.60058OpenAlexW2277546849MaRDI QIDQ2804514

Tomonori Nakatsu

Publication date: 29 April 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1129346

zbMATH Keywords

stochastic differential equationMalliavin calculusprobability density functionintegration by parts formulamaximum process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas ⋮ On the density of the supremum of the solution to the linear stochastic heat equation ⋮ Integration by parts formula for killed processes: a point of view from approximation theory ⋮ 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

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• Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
• The Malliavin Calculus and Related Topics
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
• Brownian Motion

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