Estimates for the density of functionals of SDEs with irregular drift
type: Item
instance of: scholarly article
title: Estimates for the density of functionals of SDEs with irregular drift
zbMATH Open document ID: 1279.60070
author: Arturo Kohatsu-Higa
author: A. Makhlouf
published in: Stochastic Processes and their Applications
publication date: 2013-04-22T00:00:00Z
review text: The authors consider a two-component multidimensional stochastic differential equation whose second component \(Y_t\) depends on the first component \(X_t\) which is drifted by a bounded and measurable function \(b(X_t)\). They obtain a non-trivial integration by parts formula for functions of \((X_t,Y_t)\) and, by a Girsanov shift, they derive upper and lower bounds for the density of \(Y_t\), when \((X_t,Y_t)\) is driven by possibly correlated Brownian motions.
reviewed by: Nicolas Privault
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 6156576
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: density
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: irregular drift
MaRDI profile type: Publication
full work available at URL: j.spa.2013.01.006
OpenAlex ID: W2114768613
DOI: 10.1016/J.SPA.2013.01.006
description: scientific article; zbMATH DE number 6156576