Some Distributional Properties of Linear Stochastic Differential Equations
Probability
2020-07-09 v1
Abstract
In this paper, we prove a sufficient and necessary condition for the transition probability distribution of a general, time-inhomogeneous linear SDE to possess a density function and study the differentiability of the density function and the transition quantile function of the SDE. Moreover, we completely characterize the support of the marginal distribution of this SDE.
Cite
@article{arxiv.2007.04040,
title = {Some Distributional Properties of Linear Stochastic Differential Equations},
author = {Xue Dong He and Zhaoli Jiang},
journal= {arXiv preprint arXiv:2007.04040},
year = {2020}
}