Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions

研究成果: Article査読

4 被引用数 (Scopus)

抄録

Abstract: In this article, we prove integration by parts (IBP) formulas concerning maxima of solutions to some stochastic differential equations (SDEs). We will deal with three types of maxima. First, we consider discrete time maximum, and then continuous time maximum in the case of one-dimensional SDEs. Finally, we deal with the maximum of the components of a solution to multi-dimensional SDEs. Applications to study their probability density functions by means of the IBP formulas are also discussed.

本文言語English
ページ(範囲)293-317
ページ数25
ジャーナルStochastic Analysis and Applications
34
2
DOI
出版ステータスPublished - 2016 3 3
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
  • 応用数学

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