Absolute continuity under flows generated by SDE with measurable drift coefficients

doi:10.1016/j.spa.2011.05.012

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	Absolute continuity under flows generated by SDE with measurable drift coefficients
	Luo, Dejun1,2
	2011-10-01
发表期刊	STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN	0304-4149
卷号	121 期号:10 页码:2393-2415
摘要	We consider the Ito SDE with a non-degenerate diffusion coefficient and a measurable drift coefficient. Under the condition that the gradient of the diffusion coefficient and the divergences of the diffusion and drift coefficients are exponentially integrable with respect to the Gaussian measure, we show that the stochastic flow leaves the reference measure absolutely continuous. (C) 2011 Elsevier B.V. All rights reserved.
关键词	Stochastic differential equation Strong solution Density estimate Limit theorem Fokker-Planck equation
DOI	10.1016/j.spa.2011.05.012
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000294592000009
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12579
专题	应用数学研究所
通讯作者	Luo, Dejun
作者单位	1.Univ Luxembourg, UR Math, L-1359 Luxembourg, Luxembourg 2.Chinese Acad Sci, Key Lab Random Complex Struct & Data Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Luo, Dejun. Absolute continuity under flows generated by SDE with measurable drift coefficients[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2011,121(10):2393-2415.
APA	Luo, Dejun.(2011).Absolute continuity under flows generated by SDE with measurable drift coefficients.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,121(10),2393-2415.
MLA	Luo, Dejun."Absolute continuity under flows generated by SDE with measurable drift coefficients".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 121.10(2011):2393-2415.