Approximation of the density of a solution of a nonlinear SDE -- application to parabolic SPDEs

P. L. Morien

Stochastic Processes and their Applications, 1997, vol. 69, issue 2, 195-216

Abstract: This paper studies the approximation of the density Pt,x(y) of the solution of the nonlinear limit-problem of a system of weakly interacting SDE's via a convolution of the empirical measure of the system with a family of smooth mollifiers. The method, which mainly uses coupling techniques and Malliavin calculus, is also applied to the case of nonlinear white-noise driven parabolic SPDEs.

Keywords: Interacting; SDEs; Parabolic; SPDEs; Malliavin; calculus (search for similar items in EconPapers)
Date: 1997
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