A simple method for the existence of a density for stochastic evolutions with rough coefficients
Probability
2017-10-13 v2
Abstract
We extend the validity of a simple method for the existence of a density for stochastic differential equations, first introduced in [DebRom2014], by proving local estimate for the density, existence for the density with summable drift, and by improving the regularity of the density.
Cite
@article{arxiv.1707.05042,
title = {A simple method for the existence of a density for stochastic evolutions with rough coefficients},
author = {Marco Romito},
journal= {arXiv preprint arXiv:1707.05042},
year = {2017}
}
Comments
Added a section with examples and applications