Estimates for the density of functionals of SDEs with irregular drift

We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov’s theorem together with an Itô–Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a non-trivial manner so as to avoid the irregularity of the drift. An integration by parts formula for this set-up is obtained.

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Year of publication:	2013
Authors:	Kohatsu-Higa, Arturo ; Makhlouf, Azmi
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 5, p. 1716-1728
Publisher:	Elsevier
Subject:	Stochastic differential equations \| Density \| Malliavin calculus \| Irregular drift

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

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