On the perturbation problem for occupation densities

Peter Imkeller

Stochastic Processes and their Applications, 1994, vol. 49, issue 1, 41-55

Abstract: Let X be a semimartingale, perturbed by a process V of bounded variation, but with completely arbitrary measurability properties. We prove that if V is twice continuously differentiable such that its second derivative is Hölder continuous of order , then the perturbed process X + V possesses occupation densities which are continuous under usual circumstances.

Keywords: occupation; densities; semimartingales; non-adapted; perturbation (search for similar items in EconPapers)
Date: 1994
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