Stochastic differential equations on the plane: Smoothness of the solution

We apply the Malliavin calculus to study several non-degeneracy conditions on the coefficients of a stochastic differential equation on the plane, in order to deduce the existence and smoothness of density for the law of the solution.

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Year of publication:	1989
Authors:	Nualart, D. ; Sanz, M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 1, p. 1-29
Publisher:	Elsevier
Keywords:	stochastic differential equations in the plane hypoellipticity Hormanders condition Malliavin calculus

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

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