Estimates of the Difference Between Two Probability Densities of Wiener Functionals and Its Application

Guilan Cao () and Kai He ()
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Guilan Cao: University of Chinese Academy of Sciences
Kai He: University of Chinese Academy of Sciences

Journal of Theoretical Probability, 2021, vol. 34, issue 2, 553-579

Abstract: Abstract This study investigates precise estimates of the difference between two probability densities of Wiener functionals in the space of continuously differentiable functions and the Hölder continuous functions. As an application, the convergence rate of the density of the solution to non-Markovian stochastic differential equations is derived utilizing these precise estimates.

Keywords: Donsker’s delta function; Nondegenerate; Integration by parts; Non-Markovian SDE; Convergence rate; 60H07; 60H10 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10959-020-00986-2

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