Smooth densities of the laws of perturbed diffusion processes

doi:10.1016/j.spl.2016.07.016

UM > Faculty of Science and Technology > DEPARTMENT OF MATHEMATICS

Residential College	false
Status	已發表Published
	Smooth densities of the laws of perturbed diffusion processes
	Xu,Lihu1 ; Yue,Wen 2; Zhang,Tusheng 3
	2016-12-09
Source Publication	STATISTICS & PROBABILITY LETTERS
ABS Journal Level	2
ISSN	0167-7152
Volume	119 Pages:55-62
Abstract	Under some regularity conditions on b, σ and α, we prove that the solution of the following perturbed stochastic differential equation X=x+∫ b(X)ds+∫ σ(X)dB+αsup0≤s≤tX,α<1 admits smooth densities for all 00 is some finite number.
Keyword	Malliavin Differentiability Perturbed Diffusion Processes Smooth Density
DOI	10.1016/j.spl.2016.07.016
URL	View the original
Indexed By	SCIE
Language	英語English
WOS Research Area	Mathematics
WOS Subject	Statistics & Probability
WOS ID	WOS:000386420800007
Scopus ID	2-s2.0-84982822975
Fulltext Access	View Full-Text via DOI View Full-Text via Web of Science View Full-Text via Scopus
Citation statistics
Document Type	Journal article
Collection	DEPARTMENT OF MATHEMATICS
Corresponding Author	Yue,Wen
Affiliation	1.Department of MathematicsFaculty of Science and TechnologyUniversity of Macau,Macau,China 2.Institute of Analysis and Scientific ComputingVienna University of Technology,Wien,1040,Austria 3.School of MathematicsUniversity of Manchester,Manchester,M13 9PL,United Kingdom
First Author Affilication	Faculty of Science and Technology
Recommended Citation GB/T 7714	Xu,Lihu,Yue,Wen,Zhang,Tusheng. Smooth densities of the laws of perturbed diffusion processes[J]. STATISTICS & PROBABILITY LETTERS, 2016, 119, 55-62.
APA	Xu,Lihu., Yue,Wen., & Zhang,Tusheng (2016). Smooth densities of the laws of perturbed diffusion processes. STATISTICS & PROBABILITY LETTERS, 119, 55-62.
MLA	Xu,Lihu,et al."Smooth densities of the laws of perturbed diffusion processes".STATISTICS & PROBABILITY LETTERS 119(2016):55-62.

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