Density for solutions to stochastic differential equations with unbounded drift

Author(s)

Olivera, Christian ^[1] ; Tudor, Ciprian ^{[2, 3, 4]}

Affiliation

^[1] Univ Estadual Campinas, Dept Matemat, BR-13081970 Campinas, SP - Brazil

^[2] Univ Lille 1, Lab Paul Painleve, F-59655 Villeneuve Dascq - France

^[3] ISMMA, Seattle, WA - USA

^[4] Inst Math Stat & Appl Math, Bucharest - Romania

• Document type: Journal article
• Source: BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS; v. 33, n. 3, p. 520-531, AUG 2019.
• Web of Science Citations: 0

Abstract

Via a special transform and by using the techniques of the Malliavin calculus, we analyze the density of the solution to a stochastic differential equation with unbounded drift. (AU)

• FAPESP's process: 15/07278-0 - Stochastic dynamics: analytical and geometrical aspects with applications
• Grantee: Paulo Regis Caron Ruffino
• Support Opportunities: Research Projects - Thematic Grants
• FAPESP's process: 17/17670-0 - Stochastic Partial Differential Equations and Particle Systems
• Grantee: Christian Horacio Olivera
• Support Opportunities: Regular Research Grants