On the Law of the Minimum in a Class of Unidimensional SDEs View Full Text


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Article Info

DATE

2019-03-20

AUTHORS

Giuseppe Da Prato, Alessandra Lunardi, Luciano Tubaro

ABSTRACT

We prove that the law of the minimum m:=mint∈[0,1]ξ(t) of the solution ξ to a one-dimensional stochastic differential equation with good nonlinearity has continuous density with respect to the Lebesgue measure. As a byproduct of the procedure, we show that the sets {x∈C([0,1]):infx≥r} have finite perimeter with respect to the law ν of the solution ξ(·) in L2(0,2). More... »

PAGES

1-12

References to SciGraph publications

  • 2018-06. Construction of a surface integral under local Malliavin assumptions, and related integration by parts formulas in JOURNAL OF EVOLUTION EQUATIONS
  • 2014-09. The brain of synesthetes in RENDICONTI LINCEI. SCIENZE FISICHE E NATURALI
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s00032-019-00295-2

    DOI

    http://dx.doi.org/10.1007/s00032-019-00295-2

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1112900836


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