Stochastic differential equations on the plane: Smoothness of the solution

D. Nualart and M. Sanz

Journal of Multivariate Analysis, 1989, vol. 31, issue 1, 1-29

Abstract: We apply the Malliavin calculus to study several non-degeneracy conditions on the coefficients of a stochastic differential equation on the plane, in order to deduce the existence and smoothness of density for the law of the solution.

Keywords: stochastic; differential; equations; in; the; plane; hypoellipticity; Hormanders; condition; Malliavin; calculus (search for similar items in EconPapers)
Date: 1989
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