Smoothness of Densities of Generalized Locally Non-Degenerate Wiener Functionals

DOI10.1080/07362994.2013.799019zbMath1285.60052OpenAlexW1988274471MaRDI QIDQ2844030

Nobuaki Naganuma

Publication date: 27 August 2013

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

Full work available at URL: https://doi.org/10.1080/07362994.2013.799019

zbMATH Keywords

Malliavin calculusstochastic differential equationsnon-degeneracysmoothness of densitiessquare root-type dispersion coefficient

Mathematics Subject Classification ID

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

Related Items (1)

Malliavin calculus for non-colliding particle systems

Cites Work

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• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
• Existence of densities of solutions of stochastic differential equations by Malliavin calculus
• Integration by parts on Wiener space and the existence of occupation densities
• A local criterion for smoothness of densities and application to the supremum of the Brownian sheet
• The Malliavin Calculus and Related Topics

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