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Estimates of the Difference Between Two Probability Densities of Wiener Functionals and Its Application

Author

Listed:
  • Guilan Cao

    (University of Chinese Academy of Sciences)

  • Kai He

    (University of Chinese Academy of Sciences
    Chinese Academy of Sciences
    Chinese Academy of Sciences)

Abstract

This study investigates precise estimates of the difference between two probability densities of Wiener functionals in the space of continuously differentiable functions and the Hölder continuous functions. As an application, the convergence rate of the density of the solution to non-Markovian stochastic differential equations is derived utilizing these precise estimates.

Suggested Citation

  • Guilan Cao & Kai He, 2021. "Estimates of the Difference Between Two Probability Densities of Wiener Functionals and Its Application," Journal of Theoretical Probability, Springer, vol. 34(2), pages 553-579, June.
    • Handle: RePEc:spr:jotpro:v:34:y:2021:i:2:d:10.1007_s10959-020-00986-2
    DOI: 10.1007/s10959-020-00986-2
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    References listed on IDEAS

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    1. He, Kai & Ren, Jiagang & Zhang, Hua, 2014. "Localization of Wiener functionals of fractional regularity and applications," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2543-2582.
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