A local criterion for smoothness of densities and application to the supremum of the Brownian sheet

In this note we prove a criterion for the smoothness of the density for a random variable taking values in some open subset of d, and being once differentiable. As an application we show that the maximum of the Brownian sheet on a rectangle [O, s] x [O, t] possesses an infinitely differentiable density.

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Year of publication:	1995
Authors:	Florit, Carme ; Nualart, David
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 22.1995, 1, p. 25-31
Publisher:	Elsevier
Keywords:	Stochastic calculus of variations Smoothness of densities Maximum of the Brownian sheet

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254516