Existence and continuity of occupation densities of stochastic integral processes

DOI10.1214/aop/1176989282zbMath0779.60050OpenAlexW2064039907MaRDI QIDQ686784

Peter Imkeller

Publication date: 11 October 1993

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989282

zbMATH Keywords

Tanaka's formulasecond Wiener chaosKolmogorov's continuity criterionoccupation densitySkorokhod integral processes

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Maximum likelihood estimation in Skorohod stochastic differential equations ⋮ Continuity of the occupation density for anticipating stochastic integral processes

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