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SMOOTHNESS OF DENSITIES AND TAIL ESTIMATES FOR
 

Summary: SMOOTHNESS OF DENSITIES
AND TAIL ESTIMATES FOR
SDES WITH LOCALLY
SMOOTH COEFFICIENTS AND
APPLICATIONS TO SQUARE
ROOT-TYPE DIFFUSIONS
Stefano De Marco
Preprint di Matematica ­ N. 3
Maggio 2009
SMOOTHNESS OF DENSITIES AND TAIL ESTIMATES
FOR SDES WITH LOCALLY SMOOTH COEFFICIENTS
AND APPLICATIONS TO SQUARE ROOT-TYPE
DIFFUSIONS
By Stefano De Marco,
UniversitŽe Paris-Est Marne-la-VallŽee and Scuola Normale Superiore di
Pisa
April, 2009. E-mail: s.demarco@sns.it
We study smoothness of densities for solutions of SDEs whose co-
efficients are smooth and nondegenerate only on an open domain D.
We prove that a smooth density exists on D and give upper bounds

  

Source: Abbondandolo, Alberto - Scuola Normale Superiore of Pisa

 

Collections: Mathematics