Absolute continuity under flows generated by SDE with measurable drift coefficients

Dejun Luo

Stochastic Processes and their Applications, 2011, vol. 121, issue 10, 2393-2415

Abstract: We consider the Itô SDE with a non-degenerate diffusion coefficient and a measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are exponentially integrable with respect to the Gaussian measure, we show that the stochastic flow leaves the reference measure absolutely continuous.

Keywords: Stochastic; differential; equation; Strong; solution; Density; estimate; Limit; theorem; Fokker-Planck; equation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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