Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
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DOI: 10.1016/j.spl.2013.07.011
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- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
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Cited by:
- Tomonori Nakatsu, 2019. "Some Properties of Density Functions on Maxima of Solutions to One-Dimensional Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 32(4), pages 1746-1779, December.
- Nakatsu, Tomonori, 2023. "On density functions related to discrete time maximum of some one-dimensional diffusion processes," Applied Mathematics and Computation, Elsevier, vol. 441(C).
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Keywords
Absolutely continuous law; Stochastic differential equation; Malliavin calculus;All these keywords.
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