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Absolute Continuity of the Laws of Perturbed Diffusion Processes and Perturbed Reflected Diffusion Processes

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  • Wen Yue

    (University of Manchester)

  • Tusheng Zhang

    (University of Manchester)

Abstract

In this paper, we prove that the laws of perturbed diffusion processes and perturbed reflected diffusion processes are absolutely continuous with respect to the Lebesgue measure. The main tool we use is the Malliavin calculus.

Suggested Citation

  • Wen Yue & Tusheng Zhang, 2015. "Absolute Continuity of the Laws of Perturbed Diffusion Processes and Perturbed Reflected Diffusion Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 587-618, June.
    • Handle: RePEc:spr:jotpro:v:28:y:2015:i:2:d:10.1007_s10959-013-0499-7
    DOI: 10.1007/s10959-013-0499-7
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    References listed on IDEAS

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    1. Zhang, Tu-Sheng, 1994. "On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 135-147, March.
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    Cited by:

    1. Shigeki Aida, 2024. "Rough Differential Equations Containing Path-Dependent Bounded Variation Terms," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2130-2183, September.
    2. Gassiat, Paul & Mądry, Łukasz, 2023. "Perturbations of singular fractional SDEs," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 137-172.

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