A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts

DOI10.1214/11-AIHP418zbMath1248.60058OpenAlexW2012530884MaRDI QIDQ441255

Akihiro Tanaka, Arturo Kohatsu-Higa

Publication date: 20 August 2012

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1340714876

zbMATH Keywords

Malliavin calculusdensity functionnon-smooth drift

Mathematics Subject Classification ID

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

Related Items

Tail estimates for exponential functionals and applications to SDEs ⋮ Hölder regularity of the densities for the Navier-Stokes equations with noise ⋮ Probability density function of SDEs with unbounded and path-dependent drift coefficient ⋮ Stochastic formulations of the parametrix method ⋮ Gaussian estimates for the solutions of some one-dimensional stochastic equations ⋮ Time regularity of the densities for the Navier-Stokes equations with noise ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts ⋮ Hölder continuity property of the densities of SDEs with singular drift coefficients ⋮ Density for solutions to stochastic differential equations with unbounded drift

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