Estimates for the density of functionals of SDEs with irregular drift

Arturo Kohatsu-Higa and Azmi Makhlouf

Stochastic Processes and their Applications, 2013, vol. 123, issue 5, 1716-1728

Abstract: We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov’s theorem together with an Itô–Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a non-trivial manner so as to avoid the irregularity of the drift. An integration by parts formula for this set-up is obtained.

Keywords: Stochastic differential equations; Density; Malliavin calculus; Irregular drift (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2013.01.006

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