Abstract
In this article, we consider an m-dimensional stochastic differential equation with coefficients which depend on the maximum of the solution. First, we prove the absolute continuity of the law of the solution. Then we prove that the joint law of the maximum of the ith component of the solution and the i 'th component of the solution is absolutely continuous with respect to the Lebesgue measure in a particular case. The main tool to prove the absolute continuity of the laws is Malliavin calculus.
Original language | English |
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Pages (from-to) | 2499-2506 |
Number of pages | 8 |
Journal | Statistics and Probability Letters |
Volume | 83 |
Issue number | 11 |
DOIs | |
Publication status | Published - 2013 Nov |
Externally published | Yes |
Keywords
- 60H07
- 60H10
- Absolutely continuous law
- Malliavin calculus
- Stochastic differential equation
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty