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

研究成果: Article

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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.

元の言語English
ページ(範囲)293-317
ページ数25
ジャーナルStochastic Analysis and Applications
34
発行部数2
DOI
出版物ステータスPublished - 2016 3 3
外部発表Yes

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ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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