an:04128177
Zbl 0688.60043
L??pingle, Dominique; Nualart, David; Sanz, Marta
D??rivation stochastique de diffusions r??fl??chies. (Stochastic derivatives of diffusions with reflections)
FR
Ann. Inst. Henri Poincar??, Probab. Stat. 25, No. 3, 283-305 (1989).
00172996
1989
j
60H10 60H07
Malliavin calculus; derivatives of Wiener functionals; stochastic differential equation with reflection
In the past years, a differential calculus on Wiener space has been developed by various authors, motivated in particular by the Malliavin calculus, and has become an important part of Stochastic Analysis. However, except for solutions of stochastic differential equations, derivatives of Wiener functionals have been computed only in a few examples.
The authors of the paper under review compute the derivative of the solution of a stochastic differential equation with reflection. They then apply their result to obtain a sufficient condition for the law of the solution at time t to be absolutely continuous with respect to Lebesgue measure.
E.Pardoux