Positive Densities of Transition Probabilities of Diffusion Processes

DOI10.1137/S0040585X97983523zbMath1204.60047OpenAlexW2081009020MaRDI QIDQ3556714

Stanislav V. Shaposhnikov, Vladimir I. Bogachev, Michael Roeckner

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983523

zbMATH Keywords

diffusionparabolic equationstationary distributionpositive densityinfinite-dimensional diffusiondensity of transition probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Transition functions, generators and resolvents (60J35)

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Governing equations for probability densities of stochastic differential equations with discrete time delays ⋮ The stochastic balance equation for the American option value function and its gradient ⋮ On uniqueness of probability solutions of the Fokker-Planck-Kolmogorov equation

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