On the perturbation problem for occupation densities
type: Item
instance of: scholarly article
title: On the perturbation problem for occupation densities
zbMATH Open document ID: 0804.60040
DOI: 10.1016/0304-4149(93)00069-R
author: P. Imkeller
published in: Stochastic Processes and their Applications
publication date: 1995-01-19T00:00:00Z
review text: Let \(X\) be a continuous semimartingale. There is considered \(X\) perturbed by a process \(V\) possibly anticipating. If \(V\) is not adapted, the process \(X+V\) is not a semimartingale. But under some smoothness conditions on \(V\) it is proved that \(X+V\) possesses the occupation densities \(L(V,.,.)\). There are given sufficient conditions for the continuity of the obtained occupation densities \(L(V,y,t)\) in \((y,t)\). They are the same as in the classical case of martingales perturbed by an adapted process of bounded variation.
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60J55
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G17
zbMATH DE Number: 513266
zbMATH Keywords: semimartingale
zbMATH Keywords: occupation densities
zbMATH Keywords: conditions for continuity of the obtained occupation densities
zbMATH Keywords: process of bounded variation
reviewed by: N. Kordzakhia
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 513266