Absolute Continuity of the Laws of Perturbed Diffusion Processes and Perturbed Reflected Diffusion Processes

Wen Yue () and Tusheng Zhang
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Wen Yue: University of Manchester
Tusheng Zhang: University of Manchester

Journal of Theoretical Probability, 2015, vol. 28, issue 2, 587-618

Abstract: Abstract In this paper, we prove that the laws of perturbed diffusion processes and perturbed reflected diffusion processes are absolutely continuous with respect to the Lebesgue measure. The main tool we use is the Malliavin calculus.

Keywords: Perturbed diffusion processes; Perturbed reflected diffusion processes; Malliavin differentiability; Absolute continuity; Comparison theorem; 60H07 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-013-0499-7

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