INTEGRATION BY PARTS FORMULA INVOLVING MALLIAVIN DERIVATIVES AND SOLUTIONS TO DELAY SDE’S
Journal: International Journal of Engineering Sciences & Research Technology (IJESRT) (Vol.5, No. 4)Publication Date: 2016-04-30
Authors : Tagelsir A. Ahmed; Van Casteren; Jan A.;
Page : 286-295
Keywords : `Stochastic Differential Equations; Malliavin Calculus; Euler Scheme for delay SDE’s; Integration by Parts; Densities of Distributions.;
Abstract
In the present work we have established an integration by parts formula of higher order Malliavin derivatives of solutions to delay stochastic differential equations. In a squeal work we will use this integration by parts formula in some applications concerning densities of distributions of solutions of delay (as well as ordinary) stochastic differential equations with possibly discontinuous initial data. Also, this integration by parts formula can be used to extended the formulas in the work by Bally and Talay to include delay as well as ordinary SDE’s.
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Last modified: 2016-04-10 13:56:21