an:06069318
Zbl 1248.60058
Kohatsu-Higa, Arturo; Tanaka, Akihiro
A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
EN
Ann. Inst. Henri Poincar??, Probab. Stat. 48, No. 3, 871-883 (2012).
00304801
2012
j
60H07 60H10
Malliavin calculus; non-smooth drift; density function
Summary: We present a general method which allows to use Malliavin Calculus for additive functionals of stochastic equations with irregular drift. This method uses the Girsanov theorem combined with It??-Taylor expansion in order to obtain regularity properties for this density. We apply the methodology to the case of the Lebesgue integral of a diffusion with bounded and measurable drift.