Smooth densities of the laws of perturbed diffusion processes

Lihu Xu, Wen Yue and Tusheng Zhang

Statistics & Probability Letters, 2016, vol. 119, issue C, 55-62

Abstract: Under some regularity conditions on b, σ and α, we prove that the solution of the following perturbed stochastic differential equation (0.1)Xt=x+∫0tb(Xs)ds+∫0tσ(Xs)dBs+αsup0≤s≤tXs,α<1 admits smooth densities for all 00 is some finite number.

Keywords: Perturbed diffusion processes; Malliavin differentiability; Smooth density (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.07.016

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