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Stochastic differential equations on the plane: Smoothness of the solution

Author

Listed:
  • Nualart, D.
  • Sanz, M.

Abstract

We apply the Malliavin calculus to study several non-degeneracy conditions on the coefficients of a stochastic differential equation on the plane, in order to deduce the existence and smoothness of density for the law of the solution.

Suggested Citation

  • Nualart, D. & Sanz, M., 1989. "Stochastic differential equations on the plane: Smoothness of the solution," Journal of Multivariate Analysis, Elsevier, vol. 31(1), pages 1-29, October.
    • Handle: RePEc:eee:jmvana:v:31:y:1989:i:1:p:1-29
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