Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum

研究成果: Article査読

6 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)2499-2506
ページ数8
ジャーナルStatistics and Probability Letters
83
11
DOI
出版ステータスPublished - 2013 11
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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