Estimates for the density of functionals of SDE's with irregular drift

Estimates for the density of functionals of SDE's with irregular drift
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具有不规则漂移的 SDE 泛函密度估计

DOI：
10.1016/j.spa.2013.01.006
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发表时间：
2013
期刊：
Stochastic Processes and their Applications.
影响因子：
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通讯作者：
Arturo Kohatsu-Higa and Azmi Makhlouf
Arturo Kohatsu-Higa and Azmi Makhlouf
中科院分区：
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文献类型：
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作者：
Katusi Fukuyama;Noriyuki Kuri;Qing-Ming Cheng;Ken'ichi Ohshika;A. Kitagawa and A. Takeuchi;Osamu Iyama;M. Nakamura;苅野祐一，太田克弘;Kimihiko Motegi;Hitoshi Nakada;犬伏正信;Qing-Ming Cheng;Arturo Kohatsu-Higa and Azmi Makhlouf

文献摘要

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We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov’s theorem together with an Itô–Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a non-trivial manner so as to avoid the irregularity of the drift. An integration by parts formula for this set-up is obtained.