A local criterion for smoothness of densities and application to the supremum of the Brownian sheet
type: Item
instance of: scholarly article
title: A local criterion for smoothness of densities and application to the supremum of the Brownian sheet
zbMATH Open document ID: 0820.60037
DOI: 10.1016/0167-7152(94)00043-8
author: Carme Florit
author: David Nualart
published in: Statistics \& Probability Letters
publication date: 1995-02-22T00:00:00Z
review text: The authors prove a criterion for the smoothness of the density for a once differentiable random variable taking values in an open subset of \(\text{Re}^ d\). As an application, it is shown that the maximum of the Brownian sheet on a rectangle \([0,s] \times [0,t]\) admits an infinitely differentiable density.
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 724090
zbMATH Keywords: stochastic calculus of variations
zbMATH Keywords: smoothness of densities
zbMATH Keywords: maximum of the Brownian sheet
reviewed by: Denis R. Bell
MaRDI profile type: Publication
full work available at URL: 0167-7152(94)00043-8
OpenAlex ID: W2042708667
cites work: Q3803914
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cites work: Lectures on stochastic differential equations and Malliavin calculus
description: scientific article; zbMATH DE number 724090