Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes

DOI10.1007/s10959-013-0499-7zbMath1325.60131arXiv1305.0713OpenAlexW2048607503MaRDI QIDQ495705

Wen Yue, Tu-Sheng Zhang

Publication date: 15 September 2015

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

Full work available at URL: https://arxiv.org/abs/1305.0713

zbMATH Keywords

comparison theoremMalliavin calculusabsolute continuityperturbed diffusion processesperturbed reflected diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (11)

Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero ⋮ Smooth densities of the laws of perturbed diffusion processes ⋮ Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients ⋮ Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Perturbations of singular fractional SDEs ⋮ The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary ⋮ Density functions of doubly-perturbed stochastic differential equations with jumps ⋮ Rate of convergence of the perturbed diffusion process to its unperturbed limit ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Absolute continuity of the laws of one-dimensional reflected stochastic differential equations involving the maximum process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Dérivation stochastique de diffusions réfléchies. (Stochastic derivatives of diffusions with reflections)
• Brownian motion and random walk perturbed at extrema
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary
• Perturbed Brownian motions
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• The Malliavin Calculus and Related Topics
• Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
• Stochastic differential equations with reflecting boundary conditions
• SPDEs driven by space-time white noise in high dimensions: absolute continuity of the law and convergence of solutions
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations

This page was built for publication: Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes